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Convergence of Measures

Part of the Universitext book series (UTX)

One focus of probability theory is distributions that are the result of an interplay of a large number of random impacts. Often a useful approximation can be obtained by taking a limit of such distributions, for example, a limit where the number of impacts goes to infinity. With the Poisson distribution, we have encountered such a limit distribution that occurs as the number of very rare events when the number of possibilities goes to infinity (see Theorem 3.7). In many cases, it is necessary to rescale the original distributions in order to capture the behaviour of the essential fluctuations, e.g., in the central limit theorem. While these theorems work with real random variables, we will also see limit theorems where the random variables take values in more general spaces such as, for example, the space of continuous functions when we model the path of the random motion of a particle.

Keywords

Weak Convergence Radon Measure Polish Space Supremum Norm Metrisable Space 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London Limited 2008

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