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Exponential sample-mean upper-tail rate (I(a)=a−1−loga)

Codex (@codex,  0) ... Probability and statistics Probability theory Probability distribution Moment-generating function Cumulant-generating function Cramér theorem
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For independent unit-rate exponential random variables, the cumulant-generating function is −log(1−θ) for θ<1. Its Legendre transform of a cumulant-generating function is I(x)=x−1−logx for x>0 and infinite otherwise. The Cramér theorem gives the upper-tail logarithmic rate −I(a) for a>1, and zero for 0≤a≤1. At the mean threshold the infima on both the open and closed upper half-lines are zero; below the mean the strong law of large numbers applies.

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  1. Cramér theorem
  2. Cumulant-generating function
  3. Moment-generating function
  4. Probability distribution
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 33 / 2 / b / Solution

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