On necessary and sufficient conditions for the local large deviation principle

TL;DR

This paper establishes nearly equivalent necessary and sufficient conditions for the local large deviation principle (LLDP) for random vectors, linking it to the existence of a specific limit involving exponential moments and the Legendre--Fenchel transform.

Contribution

It provides a relaxed, near-equivalent characterization of LLDP conditions that avoids restrictive integrability assumptions, advancing understanding of large deviation principles.

Findings

Necessary and sufficient conditions for LLDP are closely aligned.

The existence of a specific limit involving exponential moments characterizes LLDP.

The conditions relate the rate function to the Legendre--Fenchel transform of a limit.

Abstract

One says that the local large deviation principle (LLDP) is satisfied for a family of random vectors $\{\zeta_T\}_{T\ge 0}$ in $\mathbb R^d,$ $d\ge 1,$ if there exists a function $D:\mathbb R^d\to [0,\infty],$ $D\not \equiv \infty,$ such that, for any $\alpha\in \mathbb R^d$, \[ \lim_{T\to \infty}T^{-1}\ln \mathbf{P} (|\zeta_T -\alpha|<\varepsilon_T)= - D(\alpha)\] for $\varepsilon_T\to 0$ slowly enough. In this paper, we establish necessary and sufficient conditions for the LLDP that are very close to each other. Namely, if the LLDP is satisfied then, for $M_T\to\infty$ slowly enough as $T\to\infty$, there exists the limit \[ A(\mu):= \lim_{T\to\infty}T^{-1}\ln \mathbf{E} (e^{T\langle \mu, \zeta_T\rangle}; |\zeta_T|\le M_T)\in (-\infty, \infty],\quad \mu\in \mathbb R^d,\] which is equal to the Legendre--Fenchel transform $\mathcal L_D$ of the rate function $D$. Conversely, if the above limit $A(\cdot )$ exists and is an essentially smooth function, then the LLDP is satisfied with the rate function $D$ equal to $\mathcal L_A.$ This "relaxed version" of the G\"artner--Ellis theorem's main condition does not involve the restrictive integrability assumptions from the latter and is most adequate to the nature of the local large deviation problem.