Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of GraphSearch.
Concept
Large deviations theory
Summary
In probability theory, the theory of large deviations concerns the asymptotic behaviour of remote tails of sequences of probability distributions. While some basic ideas of the theory can be traced to Laplace, the formalization started with insurance mathematics, namely ruin theory with Cramér and Lundberg. A unified formalization of large deviation theory was developed in 1966, in a paper by Varadhan. Large deviations theory formalizes the heuristic ideas of concentration of measures and widely generalizes the notion of convergence of probability measures.
Roughly speaking, large deviations theory concerns itself with the exponential decline of the probability measures of certain kinds of extreme or tail events.
Introductory examples
An elementary example
Consider a sequence of independent tosses of a fair coin. The possible outcomes could be heads or tails. Let us denote the possible outcome of the i-th trial by X_i, wh
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Related publications
Loading
Related people
Loading
Related units
Loading
Related concepts
Loading
Related courses
Loading
Related lectures
Loading