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December 17th, 2016, 01:22 PM   #1
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Question Large deviation function for a Gamma distribution

I have a problem with the final part of this exercise. I have computed the large deviation function of that distribution correctly, I've also found the form of the Y function but I'm not able to justify that relation. Could anyone explain it to me please?

Compute the large deviation function for a non negative random variable with distribution p(x) = x^(nāˆ’1)*exp(-x)/Ī“(n). Check that the solution has the scaling form I(x) = nY(x/n). Why is this so?

Last edited by mike22; December 17th, 2016 at 01:24 PM.
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