The Annals of Probability

A Note on the Upper Bound for I.I.D. Large Deviations

I. H. Dinwoodie

Full-text: Open access

Abstract

Let $\bar{X}_n$ denote the mean of an i.i.d. sequence of random vectors $X_1,X_2,X_3,\ldots$ taking values in $\mathbf{R}^d$. If $\lambda$ denotes the convex conjugate of the logarithm of the moment generating function for $X_1$, then $\lim\sup\frac{1}{n}\log P(\bar{X}_n \in C) \leq -\inf\{\lambda(\nu): \nu \in C\}$ when $C \subset \mathbf{R}^d$ is closed and the moment generating function for $X_1$ is finite in a neighborhood of the origin. An example is given in which this upper bound fails for a certain closed set in $\mathbf{R}^3$ and the moment generating function for $X_1$ is not finite in a neighborhood of the origin. An example is also given in which this upper bound is valid for all closed sets but the moment generating function for $X_1$ is not finite in a neighborhood of the origin.

Article information

Source
Ann. Probab., Volume 19, Number 4 (1991), 1732-1736.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176990231

Digital Object Identifier
doi:10.1214/aop/1176990231

Mathematical Reviews number (MathSciNet)
MR1127723

Zentralblatt MATH identifier
0761.60022

JSTOR
links.jstor.org

Subjects
Primary: 60F10: Large deviations

Keywords
Large deviations random vectors

Citation

Dinwoodie, I. H. A Note on the Upper Bound for I.I.D. Large Deviations. Ann. Probab. 19 (1991), no. 4, 1732--1736. doi:10.1214/aop/1176990231. https://projecteuclid.org/euclid.aop/1176990231


Export citation