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.
|||H. Cramér, "Sur un nouveau théorème-limite de la théorie des probabilités" , Act. Sci. et Ind. , 736 , Hermann (1938)|
|||I.A. Ibragimov, Yu.V. Linnik, "Independent and stationary sequences of random variables" , Wolters-Noordhoff (1971) (Translated from Russian)|
|||V.V. Petrov, "Sums of independent random variables" , Springer (1975) (Translated from Russian)|
|[a1]||R.S. Ellis, "Entropy, large deviations, and statistical mechanics" , Springer (1985)|
Cramér theorem. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Cram%C3%A9r_theorem&oldid=12892