Large deviations for weighted empirical mean with outliers

Details Large deviations for weighted empirical mean with outliers Large deviations for weighted empirical mean with outliers

2006-05-17

arxiv.org/abs/math/0605491v2

Mathematics

Probability

31 pages, 4 pictures; accepted for publication in Stochastic Processes and their Applications. Replaced version : proof of Lem

Scientific paper

We study in this article large deviations for the empirical mean of iid
random vectors with some deterministic weights, whose empirical measure weakly
converges to some compactly support probability distribution. The scope of this
paper is to study the effect on the LDP of outliers, that is sequences of
weights that remain far from the support of the limiting measure.

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