Crash Course II: Weak Convergence; Implications for Heavy-Tail Analysis
- 2.3k Downloads
Asymptotic properties of statistics in heavy-tailed analysis are clearly understood with an interpretation which comes from the modern theory of weak convergence of probability measures on metric spaces, as originally promoted in  and updated in . Additionally, utilizing the power of weak convergence allows for a rather unified treatment of the one-dimensional and higher-dimensional cases of heavy-tailed phenomena.
KeywordsWeak Convergence Random Element Continuous Mapping Theorem Vague Topology Skorohod Topology
Unable to display preview. Download preview PDF.