A Note on the Weak Convergence of Stochastic Processes
نویسندگان
چکیده
منابع مشابه
On Convergence of Stochastic Processes
where £iX) is the distribution function of the random variable X,f( ) is a real-valued function 5 continuous almost everywhere (p), and the limit is in the sense of the usual weak convergence of distributions. Equation (2) is usually the real center of interest, for many " limit-distribution theorems" are implicit in it. It is clear that for given {pn} and p, the better theorem of this kind wou...
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In this paper we identify a lacuna in a proof in the paper by M. Caner published in 1997 in this Journal concerning the weak limit behavior of various expressions involving heavy-tailed multivariate vectors and the convergence of stochastic integrals. In a later paper (Caner, 1998) uses results for these limit relations to formulate tests for cointegration with infinite variance errors.
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1971
ISSN: 0003-4851
DOI: 10.1214/aoms/1177693181