PS : Grégoire Ferré (Capital Fund Management, CFM) : Cramer’s theorem under a subexponential moment condition
Bâtiment Fermat, salle 4205Cramer’s theorem is concerned with fluctuations of empirical averages of iid random variables. It states that, under an exponential moment condition, fluctuations are exponentially rare, and the level of rareness is defined through a function called ‘rate function’. However, this