[Math] Limit of cumulative distribution functions is a cumulative distribution function

density functionprobabilityprobability distributionsprobability theoryrandom variables

Le $X_n$ be a sequence of random variables with a cumulative distribution function $F_{X_n}$. Now of the sequence of function $F_{X_n}$ converge pointwise to a function $F$. Is $F$ itself a cumulative distribution function of some random variable?

Best Answer

No. Consider $$F_{X_n}=\begin{cases} 1-\frac{1}{x-n}, & x \geq n+1\\ 0, & \text{otherwise} \end{cases} $$ The function converges pointwise to zero, which is not a cumulative distribution function.

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