TheoremBase

Convergence in Distribution of Real Random Variables through Distribution Functions

Real random variables converge in distribution exactly when their distribution functions converge at every point where the limiting distribution function is continuous.

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}), and let XX be a random variable on (Ω,F,P)(\Omega,\mathcal{F},P).

Convergence of the distribution functions. If Xn→dXX_{n}\xrightarrow{d}X, then

FXn(t)→FX(t)(n→∞)F_{X_{n}}(t)\to F_{X}(t)\qquad(n\to\infty)

for every t∈Rt\in\mathbb{R} at which FXF_{X} is continuous.

The converse. If FXn(t)→FX(t)F_{X_{n}}(t)\to F_{X}(t) for every t∈Rt\in\mathbb{R} at which FXF_{X} is continuous, then Xn→dXX_{n}\xrightarrow{d}X.

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