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This article is cited in 1 scientific paper (total in 2 paper)
On large deviations, II
S. V. Zhulenev M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
The Esscher–Cramér approach enables us to get representations of large deviation type even if the Cramér condition fails. Moreover, in the case of the scaled sums of a sequence of independent identically distributed random variables these representations turn out to be slightly different from those which are correct under this rigid condition.
Keywords:
generalized Cramér transform, truncated exponential, conditional expectations.
Received: 18.07.2001
Citation:
S. V. Zhulenev, “On large deviations, II”, Teor. Veroyatnost. i Primenen., 49:4 (2004), 672–694; Theory Probab. Appl., 49:4 (2005), 671–690
Linking options:
https://www.mathnet.ru/eng/tvp188https://doi.org/10.4213/tvp188 https://www.mathnet.ru/eng/tvp/v49/i4/p672
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Abstract page: | 424 | Full-text PDF : | 185 | References: | 78 |
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