A strong law of large numbers for capacities
AbstractWe consider a totally monotone capacity on a Polish space and a sequence of bounded p.i.i.d. random variables. We show that, on a full set, any cluster point of empirical averages lies between the lower and the upper Choquet integrals of the random variables, provided either the random variables or the capacity are continuous.
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Bibliographic InfoPaper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 28-2004.
Length: 14 pages
Date of creation: Jun 2004
Date of revision:
Capacities; Choquet integral; Strong law of large numbers;
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