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lim P (Xn = m) = P (X = m)
n
lim P (Xn x) = P (X x)
n
Subtract this equation for x = m 1/2 from this equation for x = m + 1/2
and we get
lim P (Xn = m) = P (X = m)
n
lim P (Xn = m) = P (X = m)
n
lim P (Xn m) = P (X m)
n
(Since all the RVs are integer valued, it suffices to show this for integer m.)
For all finite l < k, P (l Xn k) is a finite sum of P (Xn = m), so by our
assumption
lim P (l Xn k) = P (l X k) (1)
n
1
we can find l and k such that
k
X
P (X = j) 1
j=l
In particular, n N implies
|P (l Xn m) P (l X m)| <
So if n max{N, N 0 }, then
2. Suppose that the random variables Xn are defined on the same probability
space and there is a constant c such that Xn converges in distribution to the
random variable c. Prove or disprove each of the following
(a) Xn converges to c in probability
(b) Xn converges to c a.s.
Solution:
2
(a) TRUE:
Let > 0. We must show P (|Xn c| ) converges to zero as n .
3
5. Let Xn be an i.i.d. sequence with EXn = 0 and EXn2 < . Define
Sn = X1 + + Xn . Prove that
Sn
lim sup = a.s.
n n
Sn Sm
P (lim sup c) P (
n=1 {sup c})
n n mn m
Clearly
Sn Sm
{ c} {sup c}
n mn m
Hence
Sm Sn
lim P (sup c) lim P ( c)
n mn m n n
4
6. (Self-normalized sums from Durrett) Let Xn be an i.i.d. sequence with
EXn = 0 and E[Xn2 ] = 2 < . Prove that
Pn
k=1 Xk
Pn 1/2
[ k=1 Xk2 ]
converges in distribution to the standard normal distribution (standard means
the mean is zero, the variance is one).
Solution:
Pn
1
Pn
Xk
k=1 Xk n k=1
1/2
= Pn
2 1/2
Pn
Xk2 ] 1
[ k=1 n k=1 Xk
Let
n
1 X
Zn = Xk
n k=1
" n #1/2
1X 2
Yn = Xk
n
k=1
5
Now
6
the continuity theorem it suffices to show that the characteristic function of
Zn Yn converges to that of cZ, i.e., for all t,
where
We have
So