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Cramer's condition and Sanov's theorem

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Author Info
Schied, Alexander

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Abstract

We discuss whether Sanov's theorem can be extended to a topology that renders the mapping v --> |-> f dv continuous, for a given measurable function f. We show that this is possible if and only if f possesses all exponential moments with respect to the underlying law [mu]. AMS classification: 60F10

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File URL: http://www.sciencedirect.com/science/article/B6V1D-3VXH5NH-8/2/17199847ef9b7dbd38fbb8851b0ef239
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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 39 (1998)
Issue (Month): 1 (July)
Pages: 55-60
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Handle: RePEc:eee:stapro:v:39:y:1998:i:1:p:55-60

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Related research
Keywords: Sanov&apos s theorem Cramer condition Cramers theorem Exponential moments;

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