2020/08/30 by Akshay Balsubramani, Balsubramani, Akshay
Mathematics · Computer Science · #Stochastic processes and statistical mechanics #Statistical Methods and Inference #Bayesian Methods and Mixture Models
paper · pdf · doi:10.48550/arxiv.2008.13293
We show an extension of Sanov's theorem on large deviations, controlling the tail probabilities of i.i.d. random variables with matching concentration and anti-concentration bounds. This result has a general scope, applies to samples of any size, and has a short information-theoretic proof using elementary techniques.