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Digital
Large Deviations Techniques and Applications
Authors: ---
ISBN: 9783642033117 9783642033414 9783642033100 Year: 2010 Publisher: Berlin, Heidelberg Springer-Verlag Berlin Heidelberg

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Abstract

The theory of large deviations deals with the evaluation, for a family of probability measures parameterized by a real valued variable, of the probabilities of events which decay exponentially in the parameter. Originally developed in the context of statistical mechanics and of (random) dynamical systems, it proved to be a powerful tool in the analysis of systems where the combined effects of random perturbations lead to a behavior significantly different from the noiseless case. The volume complements the central elements of this theory with selected applications in communication and control systems, bio-molecular sequence analysis, hypothesis testing problems in statistics, and the Gibbs conditioning principle in statistical mechanics. Starting with the definition of the large deviation principle (LDP), the authors provide an overview of large deviation theorems in ${{m I!R}}


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Large portfolio losses
Authors: --- ---
Year: 2002 Publisher: Cambridge, Mass. NBER

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