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Q137Section III (Statistics)137 of 190

Quadratic-mean convergence — what survives under addition, multiplication and ei(⋅)e^{i(\cdot)}

Suppose {Xn}\{X_n\} and {Yn}\{Y_n\} are sequences of random variables and X and Y are random variables such that as n→∞n\to\infty, XnX_n converges in quadratic mean to X and YnY_n converges in quadratic mean to Y. Consider the following statements: (I) The sequence (Xn+Yn)(X_n+Y_n) converges in quadratic mean to (X+Y)(X+Y) as n→∞n\to\infty. (II) lim⁡n→∞P[∣XnYn−XY∣>ε]=0, ∀ε>0\lim_{n\to\infty}P[|X_nY_n-XY|>\varepsilon]=0,\ \forall\varepsilon>0. (III) lim⁡n→∞E[eiXn]=E[eiX]\lim_{n\to\infty}E[e^{iX_n}]=E[e^{iX}].

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