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Skohorod's Theorem

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Theorem
Probability

Let (μn)n1(\mu_{n})_{n\ge 1} be a sequence of Borel probability measures that weakly converge to μ\mu. Then there are representative rvs, X,X1,X2,X,X_{1},X_{2},\dots, defined jointly on some probability space with Xnμn,XμX_{n}\sim\mu_{n},X\sim\mu, nN\forall n\in \mathbb{N} such that XnXX_{n}\to X a.s..

Not studied but surely we use the Existence of Sequences of Independent rvs to prove this.

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