Let $\mu_n$ be a probability measure on the Borel $\sigma$-field on $D[0,1]$ with respect to Skorohod distance, $n\geq 0$. Necessary and sufficient conditions for the following statement are provided. On some probability space, there are $D[0,1]$-valued random variables $X_n$ such that $X_n\sim\mu_n$ for all $n\geq 0$ and $\norm{X_n-X_0}\rightarrow 0$ in probability, where $\norm{\cdot}$ is the sup-norm. Such conditions do not require $\mu_0$ separable under $\norm{\cdot}$. Applications to exchangeable empirical processes and to pure jump processes are given as well.

A Skorohod representation theorem for uniform distance

RIGO, PIETRO
2011-01-01

Abstract

Let $\mu_n$ be a probability measure on the Borel $\sigma$-field on $D[0,1]$ with respect to Skorohod distance, $n\geq 0$. Necessary and sufficient conditions for the following statement are provided. On some probability space, there are $D[0,1]$-valued random variables $X_n$ such that $X_n\sim\mu_n$ for all $n\geq 0$ and $\norm{X_n-X_0}\rightarrow 0$ in probability, where $\norm{\cdot}$ is the sup-norm. Such conditions do not require $\mu_0$ separable under $\norm{\cdot}$. Applications to exchangeable empirical processes and to pure jump processes are given as well.
2011
The Mathematics category includes resources dealing with mathematics, applied mathematics, statistics and probability.
Sì, ma tipo non specificato
Inglese
Internazionale
STAMPA
150
321
335
15
Separable probability measure; Skorohod representation theorem; Uniform distance
3
info:eu-repo/semantics/article
262
Berti, P.; Pratelli, L.; Rigo, Pietro
1 Contributo su Rivista::1.1 Articolo in rivista
none
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/206955
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