The Metric of Large Deviation Convergence

Tiefeng Jiang, George L. O'Brien

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

We construct a metric space of set functions (script Q sign(script X sign), d) such that a sequence {Pn} of Borel probability measures on a metric space (script X sign, d*) satisfies the full Large Deviation Principle (LDP) with speed {an} and good rate function I if and only if the sequence {Pann} converges in (script Q sign(script X sign), d) to the set function e-I. Weak convergence of probability measures is another special case of convergence in (script Q sign(script X sign), d). Properties related to the LDP and to weak convergence are then characterized in terms of (script Q sign(script X sign), d).

Original languageEnglish (US)
Pages (from-to)805-824
Number of pages20
JournalJournal of Theoretical Probability
Volume13
Issue number3
DOIs
StatePublished - 2000

Keywords

  • Large deviations
  • Metric spaces

Fingerprint Dive into the research topics of 'The Metric of Large Deviation Convergence'. Together they form a unique fingerprint.

  • Cite this