TheoremBase

Smooth Test Functions Characterize Convergence in Distribution of Real Random Variables

Real random variables converge in distribution exactly when the expectations of f(Xn)f(X_n) converge to that of f(X) for every three times continuously differentiable f that is bounded together with its first three derivatives.

Statement

In the setting of Convergence of Probability Measures and Random Elements: Standing Notation, for each n∈Nn\in\mathbb{N} let XnX_{n} be a random variable on a probability space (Ωn,Fn,Pn)(\Omega_{n},\mathcal{F}_{n},P_{n}), with En\mathbb{E}_{n} the expectation there, and let XX be a random variable on (Ω,F,P)(\Omega,\mathcal{F},P).

Smooth test functions. Xn→dXX_{n}\xrightarrow{d}X if and only if

Enf(Xn)→Ef(X)(n→∞)\mathbb{E}_{n}f(X_{n})\to\mathbb{E}f(X)\qquad(n\to\infty)

for every f:R→Rf:\mathbb{R}\to\mathbb{R} such that ff and its successive derivatives f′f' and f′′f'' are differentiable, f′′′f''' is continuous, and there is a real MM with ∣f∣,∣f′∣,∣f′′∣,∣f′′′∣≤M|f|,|f'|,|f''|,|f'''|\le M on R\mathbb{R}.

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