On the Probability of Large Deviations and Exact Slopes
Sievers, Gerald L.
Ann. Math. Statist., Tome 40 (1969) no. 6, p. 1908-1921 / Harvested from Project Euclid
The purpose of this paper is to investigate a certain probability of a large deviation for a sequence of random variables $\{W_n\}$ which have moment-generating functions. We will assume that the mean of $W_n$ is given by $n\mu_n$ and the variance by $n\sigma_n^2$, where $\{\mu_n\}$ and $\{\sigma_n^2\}$ are covergent sequences. We seek the limit, as $n \rightarrow \infty$, of the expression $n^{-1} \ln P\lbrack W_n > na_n \rbrack,$ where $\{a_n\}$ is a convergent sequence with $\lim a_n > \lim \mu_n$. It is shown that, if the moment-generating function of $W_n$ satisfies certain limiting conditions, the above expression has a limit which depends on certain limits of this moment-generating function and its derivative. This result can be used in the computation of exact slopes for test statistics whose moment-generating function is known under the null hypothesis. Some applications are given.
Publié le : 1969-12-14
Classification: 
@article{1177697275,
     author = {Sievers, Gerald L.},
     title = {On the Probability of Large Deviations and Exact Slopes},
     journal = {Ann. Math. Statist.},
     volume = {40},
     number = {6},
     year = {1969},
     pages = { 1908-1921},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177697275}
}
Sievers, Gerald L. On the Probability of Large Deviations and Exact Slopes. Ann. Math. Statist., Tome 40 (1969) no. 6, pp.  1908-1921. http://gdmltest.u-ga.fr/item/1177697275/