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Paul Lévy continuity theorem
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(Theorem)
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Let $F_1,F_2,\dots$ be distribution functions with characteristic functions $\varphi_1,\varphi_2,\dots$ , respectively. If $\varphi_n$ converges pointwise to a limit $\varphi$ , and if $\varphi(t)$ is continuous at $t=0$ , then
there exists a distribution function $F$ such that $F_n\rightarrow F$ weakly, and the characteristic function associated to $F$ is $\varphi$ .
Remark. The reciprocal of this theorem is a simple corollary to the Helly-Bray theorem; hence $F_n\rightarrow F$ weakly if and only if $\varphi_n\rightarrow\varphi$ pointwise; but this theorem says something stronger than the sufficiency of that proposition: it says that the limit of a sequence of characteristic functions is a characteristic function whenever it is continuous at 0.
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"Paul Lévy continuity theorem" is owned by Koro.
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Cross-references: sequence, sufficiency, stronger, Helly-Bray theorem, theorem, continuous at, limit, pointwise, converges, characteristic functions, distribution functions
There are 2 references to this entry.
This is version 4 of Paul Lévy continuity theorem, born on 2002-12-10, modified 2008-01-20.
Object id is 3715, canonical name is PaulLevyContinuityTheorem.
Accessed 4690 times total.
Classification:
| AMS MSC: | 60E10 (Probability theory and stochastic processes :: Distribution theory :: Characteristic functions; other transforms) |
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Pending Errata and Addenda
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