Compact support still seems like an unreasonably strict constraint to me, not much less so than finite support. Compactness can be thought of as a topological generalization of finiteness, so, on a noncompact space, compact support means assigning probability 1 to a subset that’s infinitely tiny compared to its complement.
Compact support still seems like an unreasonably strict constraint to me, not much less so than finite support. Compactness can be thought of as a topological generalization of finiteness, so, on a noncompact space, compact support means assigning probability 1 to a subset that’s infinitely tiny compared to its complement.