Difference between revisions of "Cramér theorem"
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| − | + | |valign="top"|{{Ref|C}}|| H. Cramér, "Sur un nouveau théorème-limite de la théorie des probabilités" , ''Act. Sci. et Ind.'' , '''736''' , Hermann (1938) {{MR|}} {{ZBL|64.0529.01}} | |
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| + | |valign="top"|{{Ref|IL}}|| I.A. Ibragimov, Yu.V. Linnik, "Independent and stationary sequences of random variables" , Wolters-Noordhoff (1971) (Translated from Russian) {{MR|0322926}} {{ZBL|0219.60027}} | ||
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| + | |valign="top"|{{Ref|P}}|| V.V. Petrov, "Sums of independent random variables" , Springer (1975) (Translated from Russian) {{MR|0388499}} {{ZBL|0322.60043}} {{ZBL|0322.60042}} | ||
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====Comments==== | ====Comments==== | ||
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====References==== | ====References==== | ||
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| + | |valign="top"|{{Ref|E}}|| R.S. Ellis, "Entropy, large deviations, and statistical mechanics" , Springer (1985) {{MR|0793553}} {{ZBL|0566.60097}} | ||
| + | |} | ||
Revision as of 14:50, 11 May 2012
2020 Mathematics Subject Classification: Primary: 60F10 [MSN][ZBL]
An integral limit theorem for the probability of large deviations of sums of independent random variables. Let 
be a sequence of independent random variables with the same non-degenerate distribution function 
, such that 
and such that the generating function 
of the moments is finite in some interval 
(this last condition is known as the Cramér condition). Let
 |
If 
, 
as 
, then
 |
 |
Here 
is the normal 
distribution function and 
is the so-called Cramér series, the coefficients of which depend only on the moments of the random variable 
; this series is convergent for all sufficiently small 
. Actually, the original result, obtained by H. Cramér in 1938, was somewhat weaker than that just described.
References
| [C] | H. Cramér, "Sur un nouveau théorème-limite de la théorie des probabilités" , Act. Sci. et Ind. , 736 , Hermann (1938) Zbl 64.0529.01 |
| [IL] | I.A. Ibragimov, Yu.V. Linnik, "Independent and stationary sequences of random variables" , Wolters-Noordhoff (1971) (Translated from Russian) MR0322926 Zbl 0219.60027 |
| [P] | V.V. Petrov, "Sums of independent random variables" , Springer (1975) (Translated from Russian) MR0388499 Zbl 0322.60043 Zbl 0322.60042 |
Comments
See also Limit theorems; Probability of large deviations.
References
| [E] | R.S. Ellis, "Entropy, large deviations, and statistical mechanics" , Springer (1985) MR0793553 Zbl 0566.60097 |
Cramér theorem. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Cram%C3%A9r_theorem&oldid=23599