Chapter

Weak Convergence of Distributions

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/10.1093/0198774036.003.0022

Series: Advanced Texts in Econometrics

 Weak Convergence of Distributions

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

This chapter introduces the fundamentals of weak convergence for real sequences. Definitions and examples are given. The Skorokhod representation theorem is proved, and the chapter then considers the preservation of weak convergence under transformations. Next, the role of moments and characteristic functions is considered, and lastly, criteria for weak convergence and the leading case of random sums.

Keywords: characteristic function; continuous mapping theorem; Helly's selection theorem; infinitely divisible distribution; Lévy continuity theorem; Skorokhod representation theorem; stable distribution; uniform tightness; weak convergence

Chapter.  8767 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.