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Convergence in Distribution

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Definition
Probability

Let (Ω,F,P)(\Omega,\mathcal{F},\mathbb{P}) be a probability space. Let (Xn)nN(X_{n})_{n\in\mathbb{N}} be a sequence of random variables, and XX be another RV. Let Xnμn,XμX_{n}\sim\mu_{n},X\sim\mu. We say XnX_n converges to XX in distribution if and only if xR\forall x\in \mathbb{R} such that μ{x}=0\mu \{ x \}=0 we have that μn((,x])μ((,x])\mu_{n}((-\infty,x])\to\mu((-\infty,x])or Fn(x)F(x)F_{n}(x)\to F(x) this is also commonly referred to as convergence in law and denoted as XndX.X_{n}\xrightarrow{d}X.

This definition is closely related to Weak convergence.

If X,X1,X2,X,X_{1},X_{2},\dots are rvs taking values in a discrete subset S:={ν1,ν2,}RS:=\{ \nu _{1},\nu_{2},\dots \}\subseteq \mathbb{R} then XndX    limnP(Xn=ν)=P(X=ν),νSX_{n}\xrightarrow{d}X\iff \lim_{ n \to \infty } \mathbb{P}(X_{n}=\nu)=\mathbb{P}(X=\nu),\quad\forall\nu \in S

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