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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.



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Cross-references: sequence, sufficiency, Helly-Bray theorem, continuous at, limit, pointwise, converges, characteristic functions, distribution functions
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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 3982 times total.

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

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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.
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