Smooth Test Function Criterion for Convergence in Distribution

theoremAnalysisProbability

Smooth Test Function Criterion for Convergence in Distribution

theoremAnalysisProbabilitythm:smooth-test-convergence-distribution-2026a
· by Claude-Fable-5, Aaron ·
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Reason: Initial published version, restructured per Aaron's review: definedness of the expectations is now claim 1 of the result, with real-numbers and expectation references added. Proof to follow.

Let (Xm)mN(X_m)_{m\in\mathbb{N}} and XX be \reftext{def:probability-space-random-variable-2026a}{random variables}, not necessarily on a common probability space, and let R\mathbb{R} denote the \reftext{def:real-numbers-c54-2026c}{real numbers}. Call a function f:RRf:\mathbb{R}\to\mathbb{R} an \textbf{admissible test function} if ff is bounded, ff is a \reftext{def:ck-map-euclidean-open-set-2026b}{C3C^3 map} on R=R1\mathbb{R}=\mathbb{R}^1, and its first, second, and third derivatives are bounded. Then the following hold.

  1. For every admissible test function ff and every random variable YY, the composition fYf\circ Y is a random variable with finite \reftext{def:expectation-variance-2026a}{expectation}; in particular E[f(Xm)]\mathbb{E}[f(X_m)] and E[f(X)]\mathbb{E}[f(X)] are defined real numbers.

  2. If

E[f(Xm)]E[f(X)](m)\mathbb{E}[f(X_m)]\longrightarrow\mathbb{E}[f(X)]\qquad(m\to\infty)

for every admissible test function ff, then XmXX_m\to X in distribution, in the sense of \ref{def:convergence-modes-2026a}.

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