Contiguity (probability theory)

In probability theory, two sequences of probability measures are said to be contiguous if asymptotically they share the same support. Thus the notion of contiguity extends the concept of absolute continuity to the sequences of measures.

The concept was originally introduced by Le Cam (1960) as part of his foundational contribution to the development of asymptotic theory in mathematical statistics. He is best known for the general concepts of local asymptotic normality and contiguity.