Proof: Portmanteau Lemmas
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If 𝐹𝑛⇒𝐹 in distribution then there exist random variables 𝑌𝑛 with cdf 𝐹𝑛 such that 𝑌𝑛→𝑌 almost surely. Proof: Portmanteau Lemmas, 1. 𝑋𝑛⇒𝑋∞ iff for every bounded continuous function 𝑔, we have 𝐸𝑔(𝑋𝑛)→𝐸𝑔(𝑋∞). 2. 𝑋𝑛⇒𝑋∞ iff for every bounded Lipschitz continuous function 𝑔, we have 𝐸𝑔(𝑋𝑛)→𝐸𝑔(𝑋∞). A function 𝑓 is a Lipschitz function if ∃𝐾 such th....
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