TheoremBase

Convergence in Distribution of Random Elements of a Metric Space

Statement

Let (X,d)(X,d) be a metric space. For each n∈Nn\in\mathbb{N} let YnY_n be a random element of (X,d)(X,d) on a probability space (Ωn,Fn,Pn)(\Omega_n,\mathcal{F}_n,P_n), and let YY be a random element of (X,d)(X,d) on a probability space (Ω,F,P)(\Omega,\mathcal{F},P); these probability spaces are not assumed to be the same. Let λn\lambda_n denote the law of YnY_n and let λ\lambda denote the law of YY.

We say that (Yn)n∈N(Y_n)_{n\in\mathbb{N}} converges in distribution to YY if (λn)n∈N(\lambda_n)_{n\in\mathbb{N}} converges weakly to λ\lambda.

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