Homework # 1

18.6. Notice that for any m > 0

n o m
P |Xn | > m = 1
n
when n > m. Consequently, Xn is not uniformly tight. Therefore, Xn is not pre-compact
in the sense of weak convergence. Thus, Xn is not convergent in distribution. Since, the
convergence in distribution is the weakest convergence, so Xn is not convergent in any
sense.

18.8. By checking the characteristic function, the sample average

1
(X1 + + Xn )
n
has the Cauchy distribution with = 0 and = 1. So Yn converges in distribution
in a trivail way. In the following I give two different arguments to show that Yn is not
convergent in probability.
p
Proof 1. Assume that Yn Y . Then Y must be a Cauchy random variable. On
the other hand, I will show that Y is almost surely a constant.
a.s.
Indeed, by Theorem 17.3, there is a subsequence {nk } such that Ynk Y . By the
independence of the Cauchy sequence {Xj } and by 0-1 law, Y = C a.s. for some constant
C.
p p
Proof 2. Assume that Yn Y , or Yn Y 0. Write Y2 n Yn = (Y2n Y )
p
(Yn Y ). We would have Y2n Yn 0. On the other hand, Y2n Yn has the same
distribution as X1 .

18.9. By Chebyshev inequality, for any m > 0,

n o 1
P |Xn | > m 2 EXn2 n = 1, 2,
m
Consequently,
n o 1
sup P |Xn | > m 2 sup EXn2
n1 m n1
Therefore, n o
lim sup P |Xn | > m = 0
m n1

So {Xn } is uniformly tight.

18.15 Let Fn (x) and F (x) be distribution functions of Xn and X, respectively. Fix
the continuous point x of F (x). For any > 0,

P {Xn + Yn x} P {Xn x + } + P {|Yn | } = Fn (x + ) + P {|Yn | }

1
Similarly,
P {Xn + Yn x} Fn (x ) P {|Yn | }
When x + and x are continuous points of F (x),

lim Fn (x + ) = F (x + ) and lim Fn (x ) = F (x )

n n

Thus,

F (x ) lim inf P {Xn + Yn x} lim sup P {Xn + Yn x} F (x + )

n n

We now pick a sequence {m } of positive numbers such that x m are continuous

points of F (x) and m 0 as m . Take = m

F (xm ) lim inf P {Xn +Yn x} lim sup P {Xn +Yn x} F (x+m ) m = 1, 2,
n n

Letting m ,
lim P {Xn + Yn x} = F (x)
n

18.16. Write f (x) = |x|p 1[N,N] (x). The problem is to show that

Ef (X) lim sup Ef (Xn) <

n

Notice that f (x) is bounded function. So the finiteness of the right hand side is obvious.
The difficult here is the discontinuity of f . For this we take a sequence f (x) of continuous
functions sucht that 0 f (x) f (x) ( 0+ ) for every x. By the definition of convergence
in distribution, for each > 0,

Ef (X) = lim Ef (Xn ) lim sup Ef (Xn)

n n

where the last step follows from the fact that f (x) f (x). Let 0+ on the left hand
side. By monotonic convergence

lim Ef (X) = Ef (X)

0+

So we have proved the requested conclusion.