Moment Distances

Svetlozar T. Rachev, Lev B. Klebanov, Stoyan V. Stoyanov and Frank J. Fabozzi
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Svetlozar T. Rachev: Stony Brook University, Department of Applied Mathematics and Statistics College of Business
Lev B. Klebanov: Charles University, Department of Probability and Statistics
Stoyan V. Stoyanov: EDHEC Business School EDHEC-Risk Institute
Frank J. Fabozzi: EDHEC Business School EDHEC-Risk Institute

Chapter Chapter 10 in The Methods of Distances in the Theory of Probability and Statistics, 2013, pp 237-270 from Springer

Abstract: Abstract In this chapter we show that in some cases the investigation of the convergence of a sequence of distributions {F n } to a prescribed distribution function (DF) F (or to a prescribed class $$\mathcal{K}$$ of DFs) can be replaced by studying the convergence of certain characteristics of F n to the corresponding characteristics of F (or characteristics of $$\mathcal{K}$$ ).

Keywords: Momentary Distance; Analytic Characteristic Functions; General Weak Convergence; Primary Metal; Klebanov (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-4869-3_10

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DOI: 10.1007/978-1-4614-4869-3_10

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