Weak convergence of laws on R^K with common marginals

DOI10.1007/S10959-007-0096-8MaRDI QIDQ2641433zbMATH OpenOpenAlexFDO

Authors Alessio Sancetta

Publication date 20 August 2007

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0606462

zbMATH Keywords

multivariate distributionsprobability metricspecific marginalsweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10)

Abstract: We present a result on topologically equivalent integral metrics (Rachev, 1991, Muller, 1997) that metrize weak convergence of laws with common marginals. This result is relevant for applications, as shown in a few simple examples.

Review text

Let \(P(n)\) and \(Q(n)\) be two sequences of \(k\)-dimensional probability distributions with identical univariate marginals. The topic of the paper is to study distances between \(P(n)\) and \(Q(n)\) which converge to zero at the same time. The author establishes that, among others, two metrics introduced in the literature by Rachev and Muller generate such distances. Applications are presented.

Recommendations

• scientific article; zbMATH DE number 3917326
• scientific article; zbMATH DE number 3982146
• scientific article; zbMATH DE number 3862134
• scientific article; zbMATH DE number 1354815
• On weak convergence of finite-dimensional and infinite-dimensional distributions of random processes

Cites work

• A new weak dependence condition and applications to moment inequalities
• Asymptotic theory of weakly dependent stochastic processes
• Copulae of probability measures on product spaces
• scientific article; zbMATH DE number 49698 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Integral Probability Metrics and Their Generating Classes of Functions
• Mixing: Properties and examples
• On regression representations of stochastic processes

Cited in

(5)

• Nearest neighbor conditional estimation for Harris recurrent Markov chains
• Consistent estimation of a general nonparametric regression function in time series
• scientific article; zbMATH DE number 3862134 (Why is no real title available?)
• scientific article; zbMATH DE number 3917327 (Why is no real title available?)
• Conditional estimation for dependent functional data

This page was built for publication: Weak convergence of laws on \(\mathbb R^{K}\) with common marginals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2641433)