Weak Convergence of Laws on ℝ K with Common Marginals

Alessio Sancetta ()
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Alessio Sancetta: University of Cambridge

Journal of Theoretical Probability, 2007, vol. 20, issue 2, 371-380

Abstract: Abstract We present a result on topologically equivalent integral metrics as reported by Rachev (Probability Metrics and the Stability of Stochastic Models, Wiley, Chichester, 1991) and Müller (J. Appl. Probab. 29, 429–443, 1997) that metrize weak convergence of laws with common marginals. This result is relevant for applications, as shown in a few simple examples.

Keywords: Copula; Bounded Lipschitz metric; Probability metric; Weak convergence (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10959-007-0096-8

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