On convergence of multivariate Laplace transforms

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.

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Year of publication:	1997
Authors:	Jensen, S. T. ; Nielsen, B.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 33.1997, 2, p. 125-128
Publisher:	Elsevier
Keywords:	Set of convergence points Convexity Exponential family Autoregression Ornstein-Uhlenbeck process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138219