On convergence of multivariate Laplace transforms

被引：3

作者：

Jensen, ST ^{[1
]}

Nielsen, B ^{[1
]}

机构：

[1] INST STAT MATH,DK-2100 COPENHAGEN O,DENMARK

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 33卷 / 02期

关键词：

set of convergence points; convexity; exponential family; autoregression; Ornstein-Uhlenbeck process;

D O I：

10.1016/S0167-7152(96)00119-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：125 / 128

页数：4

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