*A sequence of experiments is defined to converge to a limit experiment if the sequence of likelihood ratio processes converges marginally in distribution to the likelihood ratio process of the limit experiment. A limit experiment serves as an approximation for the converging sequence of experiments. This generalizes the convergence of locally asymptotically normal sequences of experiments considered in Chapter 7. Several examples ofnonnormal limit experiments are discussed.*

This chapter introduces a notion of convergence of statistical models or “experiments” to a limit experiment. In this notion a sequence of models, rather than just a sequence of estimators or tests, converges to a limit. ...

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