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Hélène Boistard
Large deviations for L-statistics
Keywords: Large deviations, L-statistics
The purpose of this paper is to establish a functional large deviations principle (LDP) for L-statistics under some new tail conditions. The method is based on Sanov´s theorem and on basic tools of large deviations theory. Our study includes a full treatment of the case of the uniform law and an example in which the rate function can be calculated very precisely. We extend our result by an LDP for normalized L-statistics. The case of the exponential distribution, which is not in the scope of the previous conditions, is completely treated with another method. We provide a functional LDP obtained via Gärtner–Ellis theorem.
Statistics & Decisions, Oldenbourg Wissenschaftsverlag
Print ISSN: 0721-2631
Volume: 25, 02/2007
Pages: 89 - 125