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Weak convergence using higher-order cumulants
Authors:Geoffrey Grimmett
Affiliation:(1) School of Mathematics, University of Bristol, University Walk, BS8 1TW Bristol, England
Abstract:Denote bycj(F) thejth cumulant (or lsquosemi-invariantrsquo) of the distribution functionF. We say thatF is lsquospecified by its higher-order cumulantsrsquo if it is the unique distribution functionG having the following property: there exists a positive integerJ such thatcj(G)=cj(F) forj=1,2 andjgeJ. Let (Fnrationge1) be a sequence of distribution functions, and suppose that there existsJ such thatcj(Fn)rarrcj(F) asnrarrinfin, forj=1,2 andjgeJ. It is proved thatFnrArrF so long asF is specified by its higher-order cumulants. It is an open problem to characterize the family of distributions which are specified by their higher-order cumulants.
Keywords:Weak convergence  cumulants of a distribution function
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