Weitere Kapitel dieses Buchs durch Wischen aufrufen
The theory of large deviations characterizes probabilities and moments of certain sequences that are associated with “rare” events. In a typical application, consider the sum of N independent and identically distributed random variables. The deviations from the mean of the sum by a given bound become “rarer” as N becomes larger. Large deviations principles give asymptotically accurate probabilistic descriptions of such rare events as a function of N. Large deviations theory has been applied in diversified areas in probability theory, statistics, operations research, communication networks, information theory, statistical physics, financial mathematics, and queuing systems, among others.
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- Large Deviations: An Introduction
Le Yi Wang
G. George Yin
- Springer New York