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Limiting Behavior of A Sequence of Density Ratios
Let X1, X2,"¦.. be a sequence of random variables and Ð = {Pθ,θ Є (-)} be a family of distributions of the sequence. For each n, An is the σ-field generated by X1,"¦, Xn.If θ1,θ2 Є (-), we define Rn (θ1,θ2) as the density ratio of Pθ1,Pθ2 on An.The main purpose of the …




