LARGE DEVIATIONS FOR A GENERAL-CLASS OF RANDOM VECTORS

Authors

RS Ellis, University of Massachusetts - AmherstFollow

Publication Date

1984

Journal or Book Title

ANNALS OF PROBABILITY

Abstract

This paper proves large deviation theorems for a general class of random vectors taking values in R^d and in certain infinite dimensional spaces. The proofs are based on convexity methods. As an application, we give a new proof of the large deviation property of the empirical measures of finite state Markov chains (originally proved by M. Donsker and S. Varadhan). We also discuss a new notion of stochastic convergence, called exponential convergence, which is closely related to the large deviation results.

Comments

The published version is located at http://www.jstor.org/stable/info/2243592

Pages

1-12

Volume

12

Issue

1

Recommended Citation

Ellis, RS, "LARGE DEVIATIONS FOR A GENERAL-CLASS OF RANDOM VECTORS" (1984). ANNALS OF PROBABILITY. 355.
Retrieved from https://scholarworks.umass.edu/math_faculty_pubs/355