Sanov Probability Bound

Computes the classical Sanov upper bound:

Usage

sanovprob(Q, P, n)

Arguments

Q

Observed empirical distribution.

P

True distribution.

n

Sample size.

Value

A numeric upper bound.

Details

$$P(Q_n \approx Q) \le \exp\{-n \, KL(Q \| P)\}$$

where Q is the empirical distribution and P is the true distribution.