Large Deviation Theory

  • James Antonio Bucklew
Part of the Springer Series in Statistics book series (SSS)

Abstract

We will find that many of the rare events that we wish to simulate are the result of the occurrence of a large deviation event. In order to develop good simulation strategies for these events, we need to understand something of the probability theory associated with them. In this chapter, we provide an introduction to two of the basic concepts of this important area: Cramér’s Theorem and the Gärtner-Ellis Theorem.

Keywords

Rate Function Convex Function Moment Generate Function Large Deviation Principle Effective Domain 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2004

Authors and Affiliations

  • James Antonio Bucklew
    • 1
  1. 1.Department of Electrical and Computer EngineeringUniversity of Wisconsin-MadisonMadisonUSA

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