Weak convergence and its application

DOI10.1142/8687MaRDI QIDQ2838246zbMATH OpenOpenAlexFDO

Authors Zhengyan Lin, Hanchao Wang

Publication date 9 July 2013

Full work available at URL https://doi.org/10.1142/8687

zbMATH Keywords

empirical peocessesindependent increment processesPoisson point processessemimartingalesweak convergence on metric spaces

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Probability measures on topological spaces (60B05) Central limit and other weak theorems (60F05) Foundations of stochastic processes (60G05) Processes with independent increments; Lévy processes (60G51) Order statistics; empirical distribution functions (62G30)

Review text

This well-written book is intended as a systematic exposition of the theory of weak convergence of probability measures on metric spaces, covering a wide range of weak convergence problems including new developments. The chapter headings are: 1. The definition and basic properties of weak convergence, 2. Convergence to independent increment processes, 3. Convergence to semimartingales, 4. Convergence of empirical processes. NEWLINENEWLINENEWLINEIn Chapter 1, the authors present some definition and properties of weak convergence, including the portmanteau theorem of weak convergence and some important examples. Chapter 2 deals with weak convergence to independent increment processes. The following aspects are considered: Donsker type invariance principles, i.e., weak convergence to Gaussian independendent increment processes, and point process convergence, i.e., weak convergence to compound Poisson type processes. Chapter 3 on weak convergence to semimartingales covers the general case of convergence to semimartingales and, as example, weak convergence to stochastics integrals. In Chapter 4, the classical weak convergence results of empirical processes, the convergence of function indexed empirical processes and some applications are presented.NEWLINENEWLINEIn summary, the book is a solid mathematical treatment of some topics in the modern theory of weak convergence. In addition, it is a useful guide to some recent applications of weak convergence theory in time series, statistics and econometrics. Some of the results belong to the authors.

Recommendations

• Weak convergence of stochastic processes. With applications to statistical limit theorems
• Stochastic Limit Theory
• Weak convergence and empirical processes. With applications to statistics
• scientific article; zbMATH DE number 1354815
• Weak convergence of measures

Cited in

(15)

• On strong forms of weak convergence
• Some properties of weakly approaching sequences of distributions
• Weak convergence of stochastic processes. With applications to statistical limit theorems
• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• The role of weak convergence in probability theory
• scientific article; zbMATH DE number 3917325 (Why is no real title available?)
• scientific article; zbMATH DE number 4076392 (Why is no real title available?)
• scientific article; zbMATH DE number 176267 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• Weak Convergence of a Certain Functional
• Weak convergence of measures
• Convergence of stochastic processes
• Weak convergence and empirical processes. With applications to statistics
• Weak convergence (IA): sequences of random vectors
• Regarding the set-theoretic complexity of the general fractal dimensions and measures maps

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