TheoremBase

Slutsky's Theorem

If real random variables XnX_n converge in distribution to X and YnY_n converge in probability to a constant c, then XnX_n + YnY_n converges in distribution to X + c and YnY_n XnX_n to cX.

Statement

In the setting of Convergence of Probability Measures and Random Elements: Standing Notation, let (Xn)n∈N(X_{n})_{n\in\mathbb{N}} and (Yn)n∈N(Y_{n})_{n\in\mathbb{N}} be sequences of random variables on (Ω,F,P)(\Omega,\mathcal{F},P), let XX be a random variable on a probability space (Ω′,F′,P′)(\Omega',\mathcal{F}',P'), and let c∈Rc\in\mathbb{R}. Suppose that Xn→dXX_{n}\xrightarrow{d}X and that Yn→PcY_{n}\xrightarrow{P}c in the separable metric space (R,dR)(\mathbb{R},d_{\mathbb{R}}) (The Real Line and Euclidean Space Are Separable (i)).

Sums. Xn+Yn→dX+cX_{n}+Y_{n}\xrightarrow{d}X+c.

Products. YnXn→dcXY_{n}X_{n}\xrightarrow{d}cX.

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