A Skorohod Representation Theorem for Uniform Distance
AbstractLet µn be a probability measure on the Borel sigma-field on D[0, 1] with respect to Skorohod distance, n = 0. Necessary and sufficient conditions for the following statement are provided. On some probability space, there are D[0, 1]-valued random variables Xn such that Xn tilde µn for all n = 0 and ||Xn - X0|| --> 0 in probability, where ||·|| is the sup-norm. Such conditions do not require µ0 separable under ||·||. Applications to exchangeable empirical processes and to pure jump processes are given as well.
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Bibliographic InfoPaper provided by University of Pavia, Department of Economics and Quantitative Methods in its series Quaderni di Dipartimento with number 109.
Length: 13 pages
Date of creation: Jan 2010
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Cadlag function – Exchangeable empirical process – Separable probability measure – Skorohod representation theorem– Uniform distance – Weak convergence of probability measures.;
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- Berti, Patrizia & Pratelli, Luca & Rigo, Pietro, 2006. "Asymptotic behaviour of the empirical process for exchangeable data," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 337-344, February.
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