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This article is cited in 1 scientific paper (total in 1 paper)
Improvements of Plachky–Steinebach theorem
H. Comman Pontificia Universidad Católica de Valparaíso, Valparaíso, Chile
Abstract:
We show that the conclusion of the Plachky–Steinebach theorem holds true for
intervals of the form $]\overline{L}_r'(\lambda),y[$, where
$\overline{L}_r'(\lambda)$ is the right derivative (but not necessarily
a derivative) of the generalized $\mathrm{log}$-moment generating function
$\overline{L}$ with some $\lambda> 0$ and
$y\in\,]\overline{L}_r'(\lambda),+\infty]$, under only the following two
conditions: (a) $\overline{L}'_r(\lambda)$ is a limit point of the set
$\{\overline{L}'_r(t)\colon t>\lambda\}$, and (b) $\overline{L}(t_i)$ has
limit with $t_i$ belonging to some decreasing sequence converging to
$\sup\{t>\lambda\colon\overline{L}_{|]\lambda,t]}\ \text{is affine}\}$. By
replacing $\overline{L}_r'(\lambda)$ with $\overline{L}_r'(\lambda^+)$, the
above result extends verbatim to the case $\lambda=0$ (replacing (a) by the
right continuity of $\overline{L}$ at zero when
$\overline{L}_r'(0^+)=-\infty$). No hypothesis is made on
$\overline{L}_{]-\infty,\lambda[}$ (for example,
$\overline{L}_{]-\infty,\lambda[}$ may be the constant $+\infty$ when
$\lambda=0$); $\lambda\ge 0$ may be a nondifferentiability point
of $\overline{L}$ and, moreover, a limit point of nondifferentiability
points of $\overline{L}$; $\lambda=0$ may be a left and right discontinuity
point of $\overline{L}$. The map
$\overline{L}_{|]\lambda,\lambda+\varepsilon[}$ may fail to be strictly
convex for all $\varepsilon>0$. If we drop the assumption (b), then the same
conclusion holds with upper limits in place of limits. Furthermore, the
foregoing is valid for general nets $(\mu_\alpha,c_\alpha)$ of Borel
probability measures and powers (in place of the sequence $(\mu_n,n^{-1})$)
and replacing the intervals $]\overline{L}_r'(\lambda^+),y[$ by
$]x_\alpha,y_\alpha[$ or $[x_\alpha,y_\alpha]$, where $(x_\alpha,y_\alpha)$
is any net such that $(x_\alpha)$ converges to $\overline{L}_r'(\lambda^+)$
and $\liminf_\alpha y_\alpha>\overline{L}_r'(\lambda^+)$.
Keywords:
large deviation, $\mathrm{log}$-moment generating function, convexity, differentiability.
Received: 30.07.2015 Revised: 11.05.2016 Accepted: 30.06.2016
Citation:
H. Comman, “Improvements of Plachky–Steinebach theorem”, Teor. Veroyatnost. i Primenen., 63:1 (2018), 145–166; Theory Probab. Appl., 63:1 (2018), 117–134
Linking options:
https://www.mathnet.ru/eng/tvp5156https://doi.org/10.4213/tvp5156 https://www.mathnet.ru/eng/tvp/v63/i1/p145
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