Cramer's condition and Sanov's theorem

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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Year of publication:	1998
Authors:	Schied, Alexander
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 39.1998, 1, p. 55-60
Publisher:	Elsevier
Keywords:	Sanov's theorem Cramer condition Cramers theorem Exponential moments

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223857