Technische Universität München Large deviations

Fakultät für Mathematik WS 2014/15, Blatt 1

Lehrstuhl für Wahrscheinlichkeitstheorie Gantert/Mukherjee

Exercise sheet 2
Hand in: Wednesday, 12.11.2014, 12:00-14:00

Exercise 1 [6 Points].
Consider the following sequences (µn ) of probability measures on (R, B). Decide if the
sequence satisfies a large deviation principle or if it satisfy a weak large deviation principle
and determine speed and rate function.
n n n n n n
(i) µn = U [−e  ,e ] where U [−e , e ] denotes the uniform distribution on [−e , e ].
(ii) µn = Poi nλ is the Poisson distribution, and λ > 0 is fixed .
(iii) µn = n1 δn + (1 − n1 )δ0 , where δx denotes the Dirac mass at x ∈ R.
Exercise 2 [4 Points].
Let A be an open, convex set on R and (Xn )n an i.i.d. sequence and Sn = X1 + · · · + Xn .
Show that !
1 Sn
lim log P ∈A
n→∞ n n
exists in [−∞, 0].
Hint: You may use the following sub-additivity lemma: If (an )n is a sequence of real
numbers which satisfy an+m ≤ an + am , then the limit limn→∞ ann exists in [−∞, ∞).
Exercise 3 [4 Points].
Let (Xn )n be an i.i.d sequence of real-valued random variables and 0 ∈ int(D) where
D = {λ ∈ R : Λ(λ) < ∞} and

Λ(λ) = log E(exp{λX}).

 
Sn
Let Sn = X1 + . . . Xn as usual and fix x > m = E(X1 ) . Justify why P n
≥ x decays
exponentially fast.
Exercise 4 [6 Points]. :
R
Let (Xn )n be an i.i.d. sequence of d -valued random variables so that X1 is d-dimensional
R
Gaussian vector with mean µ ∈ d and covariance matrix S ∈ Rd×d which is positive
definite. Without using Cramér’s theorem, show that, the distribution of Snn satisfies a
LDP with rate function
1D E
I(x) = (x − µ), S−1 (x − µ) .
2
You can now verify using Cramér’s theorem that this is indeed true. Hint: You may use
a similar tail estimate for Gaussian vectors (proved for scalar valued Gaussian in exercise
sheet 1).