A variational formula on the Cram\'er function of series of independent random variables
classification
🧮 math.PR
keywords
formulafunctionseriescoefficientscramindependentrandomspace
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In [11] it has been proved some variational formula on the Legendre-Fenchel transform of the cumulant generating function (the Cram\'er function) of Rademacher series with coefficients in the space $\ell^1$. In this paper we show a generalization of this formula to series of a larger class of any independent random variables with coefficients that belong to the space $\ell^2$.
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