Abstract
This chapter discusses the concept of limits, almost sure convergence, convergence in probability, and convergence in rth mean. It also describes the limit of a continuous function of a sequence. The convergence notions of limits, almost sure limits, and probability limits are those most frequently encountered in econometrics, and most of the results in the literature are stated in these terms. The concept that is often encountered in the context of time series data is that of convergence in the rth mean. The chapter also describes the concept of Jensen's inequality and generalized Chebyshev inequality.
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