Abstract
We give a necessary and sufficient condition for strict convexity of the rate function of a random vector in . This condition is always satisfied when the random vector has finite Laplace transform. We also completely describe the effective domain of the rate function under a weaker condition.
Funding Statement
This work was supported in part by Dr Perry James (Jim) Browne Research Centre.
Acknowledgments
I thank the anonymous referee for comments and suggestions.
Citation
Vladislav Vysotsky. "When is the rate function of a random vector strictly convex?." Electron. Commun. Probab. 26 1 - 11, 2021. https://doi.org/10.1214/21-ECP409
Information