Large deviations theory - Wikipedia
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.[1] 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. Any large deviation is done in the least unlikely of all the unlikely ways! 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 , where we encode head as 1 an
Large deviations theory - Wikipedia Jump to content From Wikipedia, the free encyclopedia Branch of probability theory 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 . [ 1 ] Large deviations theory formalizes the heuristic ideas of
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