[Math] Weak Convergence If and Only If (Pointwise) Convergence of Characteristic Function

characteristic-functionsprobabilityprobability distributionsprobability theoryweak-convergence

Theorem 4.15

This is actually a theorem from lecture notes, with the corresponding proof. Unfortunately, it doesn't prove the last bit, or mention it at all (!), and I have a question about the penultimate bit. This is the definition of weak convergence being used:

Let $\mu$ be a Borel probability measure on $\Bbb R^d$ and let $(\mu_n)$ be a sequence of Borel probability measures on $\Bbb R^d$.

We say that $(\mu_n)$ converges weakly to $\mu$, written $\mu_n \Rightarrow \mu$, if $\mu_n(f) \rightarrow \mu(f)$ as $n \rightarrow \infty$ for all bounded, continuous functions $f:\Bbb R^d \rightarrow \Bbb R$.

We say that the sequence $(X_n)$ of random variables on $\Bbb R^d$ converges weakly to $X$ if $\mu_{X_n} \Rightarrow \mu_X$.

Firstly, consider the penultimate claim (If a sequence…). What I don't understand is why this example is not a counter-example to the claim. ($\phi$ is the characteristic function.)

Secondly, consider the final claim (Conversely, if…). No proof was given in the lecture notes. I think I have a solution, but I'm not sure; if someone could look over my answer (given as an answer below), then I'd be most appreciative. Thanks!

Best Answer

Suppose $X_n \Rightarrow X$, ie $\mu_{X_n} \Rightarrow \mu_X$. We desire to show that $\phi_{X_n}(\xi) \rightarrow \phi_{X_n}$ as $n \to \infty$ $\forall \xi \in \Bbb R^d.$ Write $\mu_n = \mu_{X_n}$ and $\mu = \mu_X$.

Since, by definition, $\mu_n \Rightarrow \mu$, in particular we have that, for each (fixed) $\xi \in \Bbb R^d$, $\mu_n(e^{i x \cdot \xi}) \rightarrow \mu(e^{i x \cdot \xi})$. Thus, $$ \begin{align} |\phi_{X_n} - \phi_X| & = |\hat \mu_{X_n}(\xi) - \hat \mu_X(\xi) | \\ & = | \int_{\Bbb R^d} e^{i x \cdot \xi} \, d\mu_{X_n}(x) - \int_{\Bbb R^d} e^{i x \cdot \xi} \, d\mu_{X_n}(x) | \\ & = | \mu_n(e^{i x \cdot \xi}) - \mu(e^{i x \cdot \xi}) | \\ & \rightarrow 0. \end{align}$$ as $n \to \infty$. (No need for the dominated convergence theorem.)

Also, this is for fixed $\xi$, so I have shown pointwise, not uniform convergence.

Related Question