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