Minimal high-probability source-set exponent (${\lim }_{n\to \infty }{n}^{-1}{\log }_{2}M(n,\epsilon )=H(U)$)

For a finite-alphabet IID source and fixed $0<\epsilon <1$, the smallest set of length-$n$ strings carrying probability at least $1-\epsilon$ has size $2^{n(H(U)+o(1))}$. The typical set bounds give the upper estimate. For the lower estimate, any such set intersects the typical set in probability bounded away from zero, while each typical string has probability at most $2^{-n(H(U)-\delta )}$.

// Target: probability-and-statistics.bigb