Category: Large deviations theory

Laplace principle (large deviations theory)
In mathematics, Laplace's principle is a basic theorem in large deviations theory which is similar to Varadhan's lemma. It gives an asymptotic expression for the Lebesgue integral of exp(−θφ(x)) over
Large deviations theory
In probability theory, the theory of large deviations concerns the asymptotic behaviour of remote tails of sequences of probability distributions. While some basic ideas of the theory can be traced to
Contraction principle (large deviations theory)
In mathematics — specifically, in large deviations theory — the contraction principle is a theorem that states how a large deviation principle on one space "pushes forward" (via the pushforward of a p
Cramér's theorem (large deviations)
Cramér's theorem is a fundamental result in the theory of large deviations, a subdiscipline of probability theory. It determines the rate function of a series of iid random variables.A weak version of
Error exponents in hypothesis testing
In statistical hypothesis testing, the error exponent of a hypothesis testing procedure is the rate at which the probabilities of Type I and Type II decay exponentially with the size of the sample use
Varadhan's lemma
In mathematics, Varadhan's lemma is a result from large deviations theory named after S. R. Srinivasa Varadhan. The result gives information on the asymptotic distribution of a statistic φ(Zε) of a fa
Rate function
In mathematics — specifically, in large deviations theory — a rate function is a function used to quantify the probabilities of rare events. It is required to have several properties which assist in t
Freidlin–Wentzell theorem
In mathematics, the Freidlin–Wentzell theorem (due to Mark Freidlin and Alexander D. Wentzell) is a result in the large deviations theory of stochastic processes. Roughly speaking, the Freidlin–Wentze
Tilted large deviation principle
In mathematics — specifically, in large deviations theory — the tilted large deviation principle is a result that allows one to generate a new large deviation principle from an old one by "tilting", i
Dawson–Gärtner theorem
In mathematics, the Dawson–Gärtner theorem is a result in large deviations theory. Heuristically speaking, the Dawson–Gärtner theorem allows one to transport a large deviation principle on a “smaller”
Schilder's theorem
In mathematics, Schilder's theorem is a generalization of the Laplace method from integrals on to functional Wiener integration. The theorem is used in the large deviations theory of stochastic proces