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Roni1985
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Homework Statement
Suppose X1,X2... are iid mean 1 exponential random variables. Use large deviation methodology to give a lower bound for the rate function R(a) for a>1
Homework Equations
R(a) [tex]\leq[/tex] [tex]\frac{-logP[Sn >n*a]}{n}[/tex]
The Attempt at a Solution
I know that a sum of exponential random variables is Gamma (n, 1).
I'm having a problem with finding the probability.
the pdf of a gamma dist random variable is:[tex]\frac{x^(^n^-^1^)*e^(^-^x^)}{(n-1)!}[/tex]
I think after transforming it, this is the pdf.
But I'm getting a very hard integral and even my TI-89 can't solve it.
I think I'm doing something wrong.
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