Chapter

Stochastic Processes

James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI: http://dx.doi.org/10.1093/0198774036.003.0012

Series: Advanced Texts in Econometrics

 Stochastic Processes

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This chapter begins with some fundamental ideas concerning random sequences, and related convergence concepts. It discusses the underlying probability model, and develops the idea of infinite dimensional Euclidean space and the associated Borel field, leading on to the Kolmogorov consistency theorem. The chapter concludes with consideration of uniform and limiting properties, including uniform boundedness and uniform integrability.

Keywords: almost‐sure convergence; consistency theorem; convergence in probability; stochastic process; stochastic sequence; uniform boundedness; uniform integrability; weak convergence

Chapter.  7728 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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