Smooth Test Function Criterion for Convergence in Distribution
theoremAnalysisProbabilitythm:smooth-test-convergence-distribution-2026aLet and be random variables, not necessarily on a common probability space, and let denote the real numbers. Call a function an admissible test function if is bounded, is a map on , and its first, second, and third derivatives are bounded. Then the following hold.
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For every admissible test function and every random variable , the composition is a random variable with finite expectation; in particular and are defined real numbers.
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If
for every admissible test function , then in distribution, in the sense of Almost Sure Convergence, Convergence in Probability, and Convergence in Distribution.
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