On convergence of multivariate Laplace transforms

S. T. Jensen and Bent Nielsen

Statistics & Probability Letters, 1997, vol. 33, issue 2, 125-128

Abstract: It is well-known that convergence of Laplace transforms in a neighbourhood of the origin is a sufficient criteria for weak convergence. It is worthwhile to note that the interior of the set of convergence points is convex. This provides a link to exponential family theory. As an example an autoregressive model is studied.

Keywords: Set; of; convergence; points; Convexity; Exponential; family; Autoregression; Ornstein-Uhlenbeck; process (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (1)

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