PlanetMath (more info)
 Math for the people, by the people. Sponsor PlanetMath
Encyclopedia | Requests | Forums | Docs | Wiki | Random | RSS  
Login
create new user
name:
pass:
forget your password?
Main Menu
Owner confidence rating: High Entry average rating: No information on entry rating
Paul Lévy continuity theorem (Theorem)

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.




"Paul Lévy continuity theorem" is owned by Koro.
(view preamble | get metadata)

View style:

Log in to rate this entry.
(view current ratings)

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 MSC60E10 (Probability theory and stochastic processes :: Distribution theory :: Characteristic functions; other transforms)

Pending Errata and Addenda
None.
[ View all 2 ]
Discussion
Style: Expand: Order:
forum policy
wrong formulae by Hipatia on 2008-03-20 07:45:15
There must be an error in the edition of the formulae in the Paul Levy Continuity Theorem, these are not the correct ones.
[ reply | up ]

Interact
post | correct | update request | prove | add result | add corollary | add example | add (any)