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This sequence of sets is decreasing: AnAn+1 ..., and it decreases towards the set
For this decreasing sequence of events, their probabilities are also a decreasing sequence, and it decreases towards the Pr(A); we shall show now that this number is equal to zero. Now any point in the complement of O is such that lim Xn() = X(), which implies that |Xn() X()|< for all n greater than a certain number N. Therefore, for all n N the point will not belong to the set An, and consequently it will not belong to A. This means that A is disjoint with O, or equivalently, A is a subset of O and therefore Pr(A)=0. Finally, consider
Convergence in probability does not imply almost sure convergence in the discrete case
If Xn are independent random variables assuming value one with probability 1/n and zero otherwise, then Xn converges to zero in probability but not almost surely. This can be verified using the BorelCantelli lemmas.
Proof of lemma:
Proof of the theorem: Recall that in order to prove convergence in distribution, one must show that the sequence of cumulative distribution functions converges to the FX at every point where FX is continuous. Let a be such a point. For every >0, due to the preceding lemma, we have:
So, we have
where FX(a)=Pr(X a) is the cumulative distribution function of X. This function is continuous at a by assumption, and therefore both FX(a) and FX(a+) converge to FX(a) as 0+. Taking this limit, we obtain which means that {Xn} converges to X in distribution.
Convergence in probability to a sequence converging in distribution implies convergence to the same distribution
Proof: We will prove this theorem using the portmanteau lemma, part B. As required in that lemma, consider any bounded function f (i.e. |f(x)| M) which is also Lipschitz:
(here 1{...} denotes the indicator function; the expectation of the indicator function is equal to the probability of corresponding event). Therefore
If we take the limit in this expression as n , the second term will go to zero since {YnXn} converges to zero in probability; and the third term will also converge to zero, by the portmanteau lemma and the fact that Xn converges to X in distribution. Thus
Since was arbitrary, we conclude that the limit must in fact be equal to zero, and therefore E[f(Yn)]E[f(X)], which again by the portmanteau lemma implies that {Yn} converges to X in distribution. QED.
Convergence of one sequence in distribution and another to a constant implies joint convergence in distribution
provided c is a constant. Proof: We will prove this statement using the portmanteau lemma, part A. First we want to show that (Xn, c) converges in distribution to (X, c). By the portmanteau lemma this will be true if we can show that E[f(Xn, c)] E[f(X, c)] for any bounded continuous function f(x, y). So let f be such arbitrary bounded continuous function. Now consider the function of a single variable g(x):=f(x, c). This will obviously be also bounded and continuous, and therefore by the portmanteau lemma for sequence {Xn} converging in distribution to X, we will have that E[g(Xn)]E[g(X)]. However the latter expression is equivalent to E[f(Xn, c)] E[f(X, c)], and therefore we now know that (Xn, c) converges in distribution to (X, c). Secondly, consider |(Xn, Yn)(Xn, c)| = |Yn c|. This expression converges in probability to zero because Yn converges in probability to c. Thus we have demonstrated two facts:
By the property proved earlier, these two facts imply that (Xn, Yn) converge in distribution to (X, c).
Each of the probabilities on the right-hand side converge to zero as n by definition of the convergence of {Xn} and {Yn} in probability to X and Y respectively. Taking the limit we conclude that the left-hand side also converges to zero, and therefore the sequence {(Xn, Yn)} converges in probability to {(X, Y)}.
References
van der Vaart, Aad W. (1998). Asymptotic statistics. New York: Garrick Ardis. ISBN978-0-521-49603-2. LCCN1998 QA276.V22 1998 [1].
References
[1] http:/ / lccn. loc. gov/ QA276. V22
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