Questions tagged [large-deviations]
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74
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Moment generating function for product states
In the sequel $B=M_\ell(\mathbb{C})$.
For $M\in\mathbb{N}$ fixed and $N\geq M$ I consider the symmetrizer $\pi_{M,N}(x_M)\in B^{\otimes N}$, which is the symmetrized tensor product of $a_1$,...,$a_M$ ...
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37
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Weak convergence of Gibbs measures with converging energy functions
Let $H$ be a continuous energy function defined on a compact subset $A\subset \mathbf{R}^n$
and let $Q$ be a fixed probability measure on $A$.
For each $\theta>0$, define the probability ...
1
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42
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From large deviations to finite time probability tails
Cross-Post from Math.SE
Let $(B_t)$ be a standard $d$-dimensional Brownian motion. It is well-known that
$$\mathbb P(\sup_{s\in[0,t]}|B_s|\ge \alpha) \le 4de^{-\alpha^2/2dt}.$$
One possibility to ...
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63
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On the asymptotic behaviour of the kernel of a Toeplitz operator
Consider the following Berezin Topelitz operator on the 2-sphere:
$$Q_N(f)=\frac{N+1}{4\pi}\int_{\mathbb{S}^2}d\Omega \, f(\Omega)|\Omega\rangle\langle\Omega|_N,$$
where $f\in C^\infty(\mathbb{S}^2)$,...
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125
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Large-deviation inequalities for a class of simple random multivariate polynomials
Let $N$ be a large positive integer and let $[N] := \{1,2,\ldots,N\}$. For any $k$, let $K_{N,k}$ denote the collection of $k$-element subsets of $[N]$. Let $x=(x_1,\ldots,x_N)$ be a uniformly random ...
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0
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95
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Freidlin Wentzell for stochastic differential inclusions
Consider the SDI
$$dX^\varepsilon(t)\in b(X^\varepsilon(t))\,dt + \varepsilon \sigma(X^\varepsilon(t)) \, dB(t).$$
Is there any Freidlin-Wentzell large deviations principle for $X^\varepsilon$?
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82
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Large deviation inequalities for number of coupon types collected by a coupon collector with fixed budget
In the generalized Coupon Collector's Problem, there are $N$ types of coupon, and for any $i \in [N] := \{1,2,\ldots,N\}$, $p_i \ge 0$ is the probability of obtaining a type-i coupon on any trial. ...
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90
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How much is known about the action functional for small noise diffusions with general volatility coefficients?
Let $W$ be a d-dimensional Brownian motion, and for every $\varepsilon > 0$, let $X^\varepsilon$ be the solution to the SDE
$$dX^\varepsilon_t = b(X^\varepsilon_t) \, dt + \varepsilon \sigma (X^\...
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How to determine speed (rate) in large deviation principle for geometric Brownian motion
By reading Asymptotics for volatility derivatives in multi-factor rough
volatility models by Lacombe, Muguruza and Stone, I am not familiar with the way they deduce the speed (or rate) when showing ...
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153
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A variant of the Laplace principle
$\newcommand{\R}{\mathbb R}\newcommand{\eps}{\varepsilon}$In $\R^d$ I am given a sequence of smooth functions $f_\eps(x)$ that converges uniformly to some $f(x)$, which is assumed to be a good rate ...
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107
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Large deviation principle for product of iid bounded symmetric random variables
Let $n$ and $k$ be positive integers. Let $X$ be the empirical mean of $n$ iid Rademacher random variables. Note that the distribution of $X$ is symmetric about 0, and also $|X| \le 1$ w.p 1. Let $X_1,...
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2
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242
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Concentration of minimum Hamming distance between $N$ points sampled iid from uniform distribution on $n$-dim hypercube $\{0,1\}^n$
Let $n$ be a large positive integer. Sample $N \ge 2$ points $x_1,\ldots,x_N$ iid from the uniform distribution on the $n$-dimensional hypercube $\{0,1\}^n$. Define the gap $\delta_{N,n} := \min_{i \...
3
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1
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154
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Small noise limits with irregular drift
Let $W$ be a standard $d$-dimensional Brownian motion.
Suppose $b: \mathbb R^d \to \mathbb R^d$ is measurable and bounded. Consider, for every $\varepsilon > 0$, the solution $X^\varepsilon$ on $[0,...
2
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1
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312
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Lower bound on sum of independent heavy-tailed random variables
I have a sum of $n$ i.i.d random variables $X_i$ such that $E[X_i] = 0$,$\mathrm{E}[|X_i|^{1 + \delta}]$ exists for some $0 < \delta < 1$ but $\mathrm{E}[|X_i|^{1 + \delta+ \epsilon}]$ does not ...
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Mutual information in large deviation theory
Many information theoretic quantities such as entropy and relative entropy appear in rate functions in large deviation theory (LDT). Is there any result in LDT that relates mutual information and rate ...
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What exactly is the relationship between Donsker-Varadhan variational formula and the Laplace principle?
Given a nice real valued functional $C$ on some probability space $(\Omega, \mathcal F, P_0)$ we have the following Donsker-Varadhan variational representation
$$\log E_{P_0}\left[e^C\right]=\sup_{P\...
4
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1
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288
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Large deviations for sequences that are not sums of iid
Suppose $(S_n)_n$ is a sequence of real random variables. Denote their cumulant generating functions by $K_n(t) = \log\mathbb{E}\left[\mathrm{e}^{t S_n}\right]$, and assume that each $K_n$ is finite ...
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Endpoint of Brownian motion conditional on high maxima
Note: This question is closely related to an earlier question: A large noise limit.
Let $W$ be a standard one dimensional Brownian motion.
For every $\varepsilon > 0$, let $A_\varepsilon$ denote ...
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1
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LDP for Marchenko Pastur with k/n tending to 0
I am interested in the determinant of $W = X * X'$, where $X \in \mathbb{R}^{k \times n}$ is a matrix with each row drawn IID from some sub-Gaussian distribution on $\mathbb{R}^{n}$. (I am aware of ...
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Equivalent of a local limit theorem in the large deviation region and asymptotics of a convolution operator
Let $\{X_i \}_{i \in \mathbb{N}}$ be a sequence of i.i.d. random variables satisfying $\mathbb{E} X_1 = 0$ and $\mathbb{E} X_1 ^2 < \infty$. Assume that $\{S_n \}_{n \in \mathbb{N}}$ is a non-...
2
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1
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299
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A large noise limit
Let $f: [0, 1] \to \mathbb R$ be a bounded, continuous function, and $W$ a standard Brownian motion.
Denote $Y := \int_0^1 f(t) \, dW_t$.
For each $\varepsilon > 0$, consider the conditioned random ...
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1
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90
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Probability distribution of $\sum_i^n X_i - T$ where $\sum_i^nX_i <T<\sum_i^{n+1} X_i $
Let $X_{1}, X_{2}, \ldots, X_{n}$ be IID random variables with mean $\mu$ and variance $\sigma^2$. Let $S_n=\sum_i^{n}X_i.$
Let $T\gg1$ and define $\tau=T-S_n$ where $n$ satisfies the following ...
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1
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193
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Large deviation for empirical median
I found this exercise while reading some notes on Large Deviation Principle. This exercise is at the end of the very first chapter, including Cramer's Theorem and essentially nothing more (no Sanov ...
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2
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148
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Determine the affine envelope of a random process's MGF
Suppose that a stationary random process $S(t)$ can be characterized as the figure below, which for most of the time is a straight line $S(t)=c\cdot t$, but occasionally would "stall" for a ...
3
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References on precise Large Deviations Principle/Laplace method for binomial sum
I am looking for an estimate of the following sum/expectation:
\begin{align*}%$
J_n & = \mathbb{E}\left( e^{n f(X_n) + \log(n) g(X_n) + h(X_n)} \right) \\
& = \frac{1}{2^n} \sum_{k = 0}^n {...
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95
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Concentration Inequality for Bounding Lipschitz Empirical Lass
Let $(\Omega,\mathcal{F},\mathbb{P})$ be a probability space, $(X_n:\Omega\rightarrow \mathbb{R}^m)_n$ be a sequence of i.i.d. random variables and let $L:\mathbb{R}^m\rightarrow [0,\infty)$ be ...
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Problem on definition of large deviation principle
As in many classic textbooks, the definition of large deviation principle is as follows:
$\{\mu_n\}$ has LDP with speed $a_n$ and rate $I(x)$ if the following holds for any measurable $A$:
$$\limsup\...
5
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1
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204
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Large deviations: Growth of empirical average of iid non-negative random varialbes with infinite expectations?
Let $X_1,X_2,X_3,...$ be iid non-negative random variables with $E[X_i]=\infty$. I am looking for references on the growth in $n$ of the empirical average under assumptions on $X_1.,..,X_n$.
A more ...
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623
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sub-exponential type upper bound on the Poisson probability
I posted this question on Math Stack Exchange, though I'm not satisfied with the answer I received.
Question:
For a Poisson random variable $Z$ with the parameter $\lambda,\,$ what would be a good ...
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1
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243
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Upper bound for $P(X \geq x)$, where $X \sim \operatorname{Pois}(\lambda)$
I posted the following question in a comment on CDF of a log-concave discrete random variable. Since it is not related to my main question, I thought of reposting it as separate post.
Question:
Let $X ...
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CDF of a log-concave discrete random variable
In the continuous setting, it's known that if a density function is log-concave , then its CDF is also log-concave.
My questions:
What can we say about this in the discrete setting?. For ex: Is the ...
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Existence, Uniqueness, and "ODE Characterization" of Minimizers for Variational Functionals from Large Deviations
A [classical result][1] of E. Lieb is that the functional
$$\mathcal E(\phi):=\int_{\mathbb R^3}|\nabla\phi(x)|^2~dx-\int_{(\mathbb R^3)^2}\frac{|\phi(x)|^2|\phi(y)|^2}{|x-y|}~dx~dy$$
for $\phi\in W^1(...
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3
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Sample average L1 convergence speed
Say $X_1, \cdots, X_n$ are i.i.d random variables with mean zero, let $S_n = \sum_{i=1}^n X_i$, we know by SLLN $$\frac{S_n}{n}\rightarrow 0\text{ a.s}$$
We could further know that the sequence of ...
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Probability of a deviation when Jensen’s inequality is almost tight
This is a cross-post to a yet unanswered question in Math StackExchange
https://math.stackexchange.com/questions/3906767/probability-of-a-deviation-when-jensen-s-inequality-is-almost-tight
Let $X>0$...
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1
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330
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Concentration inequalities for very rare events on a multiplicative scale
Let $E_1, \dots, E_N$ be independent events, each of probability $p$, where $p$ is very close to $0$. Let $A_N = \frac{1}{N} ( 1_{E_1} + \dots + 1_{E_N} )$ be the proportion of the events $E_i$ that ...
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207
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Large deviation for Brownian occupation time
I am asking for reference about the large deviation principle (LDP) for the occupation time of a Brownian motion/bridge. Let $f:\mathbb{R} \to \mathbb{R}$ be smooth and compactly supported. My ...
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0
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Large deviations estimate for arbitrary continuous function
Fix $\epsilon>0$ and let $(\Omega,\mathcal{F},\mathcal{F}_t,\mathbb{P})$ be a stochastic base, and let $f:\mathbb{R}^n\to \mathbb{R}^n$ be a continous function with $f(0)=0$. Is there a family of ...
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103
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Comparing Euclidean norm of two normal vectors
Let $X_i$ ($i = 1,2$) be two random vectors in $\mathbb R^n$, with normal distribution with scalar covariance matrix $\sigma_i^2$ and center $\mu_i$ (in my case, $n = 2$). Is there a way to estimate ...
0
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1
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123
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Tail bounds for the absolute difference of a coupled pair of sub-Gaussian random variables
Let $P$ and $Q$ are sub-Gaussian distributions on $\mathbb R$, and $(X,X')$ be a coupling of $P$ and $Q$, i.e $(X,X') \sim \pi$ for some distribution on $\mathbb R^2$ with marginals $P$ and $Q$.
...
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Joint typicality of sequences
I know that for two i.i.d distributions $P$ and $Q$ the probability that $Q$ will produce a length $n$ sequence that is $\epsilon$-typical according to $P$ is bounded by
$$Q(T_{P,\epsilon})\leq e^{-nD(...
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2
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694
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Anti-concentration inequalities: lower bound on realized second moment
Let $X:(\Omega,\Sigma)\rightarrow (\mathbb{R}^d;\mathbb{B}(\mathbb{R}^d))$ be a Borel-measurable random vector. What are some general classes of such random vector for which one can give a "lower ...
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Probabilistic Approximation of non-linear Dynamical System by Diffusion Process
Setting
Suppose I have a discrete dynamical system given by:
$$
X^{n+1} = f(X^{n})
\qquad X^0 =x
,
$$
where $f$ is some diffeomorphism from $\mathbb{R}^{d}$ to itself, and some $x \in \mathbb{R}^d$. ...
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0
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86
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Large Deviations Principle for First Exit time of a Diffusion Process
Let $b:\mathbb{R}^d\rightarrow \mathbb{R}^d$ be a smooth Lipschitz function, $x \in \mathbb{R}^d$, $\sigma >0$, and consider the solution to the SDE $X_t^x$ defined by
$$
dX_t^x = b(X_t^x)dt + \...
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1
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144
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Bound for Large deviations of sums of independent (not identical) variables
I am working with a sum of variables $X_i$; they are all independent, but not identically distributed. For any $i$, I can show the bound $$\Lambda^*_{X_i}(t) := \sup_t \langle t, x \rangle - \Lambda_X(...
2
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Reference: hitting time of Gaussian process
Let $X_t$ be an OU process and $Y_t$ be the Gaussian process defined by
$$
Y_t = y+\int_0^t X_s ds + W_t,
$$
for some Brownian motion independent of $X_t$. Let $y,a>0$; is there a large deviation ...
5
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1
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325
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Bounding the sensitivity of a posterior mean to changes in a single data point
There is a real-valued random variable $R$. Define a finite set of random variables ("data points") $$X_i = R + Z_i \; \text{for } i\in\{1,\ldots,n\},$$ where $Z_i$ are identically and independently ...
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3
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491
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Large deviations for discrete uniform distribution
(Not sure if this belongs on stack-exchange or overflow; let me know if I should switch it).
Given a sum of $n$ IID random variables $\{X_i\}_{i=1}^n$, each uniform on the integers $0,1,...,r$ for ...
4
votes
1
answer
188
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Local central limit theorem far from the center
Let $X_i$ be a sequence of iid random variables, $E [X] = 0$, $E [X^2] = 1$ and $E [|X|^k] < \infty$ for some $k \ge 3$.
Classical local CLT says that the density function $f_n$ of $\frac1{\sqrt n}...
2
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1
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235
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Estimating probability that a large sum of i.i.d variables is positive
Let $X$ and $Y$ be i.i.d. random variables with exponential distribution with mean $1$, and let $Z=(X-1)(Y-X)$. Let $Z_1,...,Z_n$ are i.i.d. copies of $Z$, and let $f(n)=P[\sum_{i=1}^n Z_i > 0]$. ...
1
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0
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113
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Sanov-type finite-sample bound on $KL(P\|\hat{P}_n)$
Let $P$ be a distribution on an alphabet of size $k$ and let $\hat{P}_n$ be an empirical version of $P$ via $n$ i.i.d samples $a_1,\ldots,a_n \sim P$, i.e $\hat{P}_n := (1/n)\sum_{i=1}^n\delta_{a_i}$.
...