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The Entropy Method in Large Deviation Theory (2210.13121v2)
Published 24 Oct 2022 in math.PR, cs.IT, and math.IT
Abstract: This paper illustrates the power of the entropy method in addressing problems from large deviation theory. We provide and review entropy proofs for most fundamental results in large deviation theory, including Cramer's theorem, the G\"artner--Ellis theorem, and Sanov's theorem. Moreover, by the entropy method, we also strengthen Sanov's theorem to the strong version.
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