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Solution 5.2.3.
Theorem. Suppose Xn converges to X in distribution and Yn converges in
probability to 0. Then Xn + Yn converges to X in distribution.
Proof. Let x be a continuous point for FX . We want to show that limn→∞ FXn +Yn (x) =
FX (x).
Let > 0 be given. Suppose that x+ and x− are also continuous points
for FX . Observe that Xn + Yn ≤ x and |Yn | ≤ imply that Xn ≤ x + .
Thus,
FXn +Yn (x) = P (Xn + Yn ≤ x)
= P (Xn + Yn ≤ x, |Yn | < ) + P (Xn + Yn ≤ x, |Yn | ≥ )
(1) ≤ P (Xn + Yn ≤ x, |Yn | ≤ ) + P (Xn + Yn ≤ x, |Yn | ≥ )
≤ P (Xn ≤ x + ) + P (|Yn | ≥ )
= FXn (x + ) + P (|Yn | ≥ ).
3
D
Since Xn −
→ X and since x + is a continuity point for FX we have that
lim FXn (x + ) = FX (x + ),
n→∞
P
and since Yn −
→ 0 we have that
lim P (|Yn | ≥ ) = 0.
n→∞
The inequality in (1), together with these last two limits, shows that
(2) lim sup FXn +Yn (x) ≤ FX (x + ).
n→∞
Now, observe that Xn + Yn > x and |Yn | < imply that Xn > x − .
Thus,
1 − FXn +Yn (x) = P (Xn + Yn > x)
= P (Xn + Yn > x, |Yn | < ) + P (Xn + Yn > x, |Yn | ≥ )
≤ P (Xn > x − ) + P (|Yn | ≥ )
= 1 − FXn (x + ) + P (|Yn | ≥ ).
Rearranging the terms of this inequality yields
(3) FXn (x − ) − P (|Yn | ≥ ) ≤ FXn +Yn (x).
D
Since Xn −
→ X and since x − is a continuity point for FX we have that
lim FXn (x − ) = FX (x − ),
n→∞
P
and since Yn −
→ 0 we have that
lim P (|Yn | ≥ ) = 0.
n→∞
The inequality in (3), together with these last two limits, shows that
(4) FX (x − ) ≤ lim inf FXn +Yn (x).
n→∞
Combining inequalities (2) and (4) we have
(5) FX (x − ) ≤ lim inf FXn +Yn (x) ≤ lim sup FXn +Yn (x) ≤ FX (x + ).
n→∞ n→∞
The inequalities in (5) require that x − and x + be continuity points
for FX . We claim that there exists a sequence of positive numbers {k } such
that limk→∞ k = 0 and for all natural numbers k the points x ± k are
continuity points for FX . This claim is an immediate consequence of the
fact that the set of discontinuous points of FX is countable.
Choose {k } as described in the previous paragraph. Since FX is continu-
ous at x, limk→∞ FX (x ± k ) = FX (x). Since FX is continuous at the points
x ± k for every natural number k,
(6) FX (x − k ) ≤ lim inf FXn +Yn (x) ≤ lim sup FXn +Yn (x) ≤ FX (x + k ).
n→∞ n→∞
Finally, letting k → ∞ in (7) shows that limn→∞ FXn +Yn (x) = FX (x), and
D
we conclude that Xn + Yn −
→ X.
4
Problem 5.2.20. Use Stirling’s formula, (5.2.2), to show that the first limit
in Example 5.2.3 is 1.
Solution 5.2.20. Let us introduce three sequences,
Γ n−1
2 +1
(7) an = √ n/2
2π n−1 2 e−(n−1)/2
√ (n−1)/2 −(n−2)/2
2π n−2 2 e
(8) bn = n−2
Γ 2 +1
2 n − 1 n/2
r
−1/2
(9) cn = e 1− .
n n−2
Stirling’s formula states that
Γ(k + 1)
lim √ 1 = 1.
k→∞ 2πk k+ 2 e−k
We may apply Sterling’s formula to an with k = (n − 1)/2 to conclude that
limn→∞ an = 1. In a similar way we may apply Steling’s formula to bn with
k = (n − 2)/2 to conclude that limn→∞ bn = 1.
Notice that limn→∞ [(n − 1)/(n − 2)]n/2 is a 1∞ indeterminant form. Ap-
plying Calculus II methods that are taken from the section on L’Hôpital’s
Rule we are able to evaluate that limit. We leave it as an exercise to con-
firm that limn→∞ [(n − 1)/(n − 2)]n/2 = e1/2 . Knowing this, we see that
limn→∞ cn = 1.
After some simplification, which we leave to the student, we find that
Γ[(n + 1)/2]
an · bn · cn = p .
n/2 Γ(n/2)
We therefore conclude that
Γ[(n + 1)/2]
lim p = lim an · bn · cn = 1 · 1 · 1 = 1.
n→∞ n/2 Γ(n/2) n→∞