Asymptotic approximation for the probability density function of an arbitrary sequence of random variables

We establish a large deviation approximation for the density function of an arbitrary sequence of random variables. The results are analogous to those obtained by Chaganty and Sethuraman (1985). We apply our theorems to the sample variance and the Mann–Whitney two-sample statistic.

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Bibliographic Details
Published in:Statistics & probability letters 2014-07, Vol.90, p.100-107
Main Author: Joutard, Cyrille
Format: Article
Language:English
Subjects:
Density function
Large deviations
Mann–Whitney statistic
Sample variance
Statistics
Statistics Theory
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Description
Summary:We establish a large deviation approximation for the density function of an arbitrary sequence of random variables. The results are analogous to those obtained by Chaganty and Sethuraman (1985). We apply our theorems to the sample variance and the Mann–Whitney two-sample statistic.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2014.03.018