Rate Function

(Large Deviations Theory)


Large Deviations Theory
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What is Rate function?

In mathematics — specifically, in large deviations theory — a rate function is a function used to quantify the probabilities of rare events. It is required to have several properties which assist in the formulation of the large deviation principle. In some sense, the large deviation principle is an analogue of weak convergence of probability measures, but one which takes account of how well the rare events behave. A rate function is also called a Cramér function, after the Swedish probabilist Harald Cramér.

Technology Types

asymptotic analysislarge deviations theory


Good rate functionLarge deviation principleWeak large deviation principle

Tech Info

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