Jump to ContentJump to Main Navigation
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models$
Users without a subscription are not able to see the full content.

Søren Johansen

Print publication date: 1995

Print ISBN-13: 9780198774501

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774508.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2016. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see http://www.oxfordscholarship.com/page/privacy-policy).date: 06 December 2016

(p.239) Weak Convergence of Probability Measures on Rp and C[0,1]

(p.239) Weak Convergence of Probability Measures on Rp and C[0,1]

Source:
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Author(s):

Søren Johansen

Publisher:
Oxford University Press
DOI:10.1093/0198774508.005.0002

The purpose of this appendix is to explain the concept of weak convergence on C[0,1], the space of continuous functions on the unit interval [0,1]. It explains what is behind the formulae involving Brownian motion and stochastic integrals, which appear in the discussion of the limit distributions in cointegration theory. We discuss the existence of stochastic processes like Brownian motion, and find distributions of suitable functionals of Brownian motion using the continuous mapping theorem.

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .