Cramér's condition and Sanov's theorem

DOI10.1016/S0167-7152(98)00033-9zbMath0911.60019OpenAlexW2026330366MaRDI QIDQ1266002

Alexander Schied

Publication date: 2 March 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00033-9

zbMATH Keywords

Sanov's theoremexponential momentsCramér's theorem

Mathematics Subject Classification ID

Large deviations (60F10)

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Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Large deviation principles for renewal-reward processes ⋮ A non-exponential extension of Sanov’s theorem via convex duality ⋮ Testing the order of a model ⋮ Large deviations in discrete-time renewal theory ⋮ Entropic Projections and Dominating Points

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