Nested convergence of random variables: a.s. and in distribution

probability theoryprobability-limit-theorems

A sequence of random variables $X_n$ converges pointwise to a weighted sum of two other sequences of random variables $Y_n$ and $Z_n$.

$~~~\lim_{n\to\infty} |X_n – (a Y_n + b Z_n)|=0$

In addition, $Y_n$ and $Z_n$ converge in distribution to independent normal distributions.

$~~~Y_n\stackrel{d}{\to}\mathcal{N}(0,1)$, $~~~~~~~~~Z_n\stackrel{d}{\to}\mathcal{N}(0,1)$.

as $n\to\infty$. Is it true that

$~~~X_n\stackrel{d}{\to}\mathcal{N}(0,a^2+b^2)$

And if yes, what would be the shortest argument? It seems to me that Slutsky's theorem
or the continuous mapping theorem can not be directly applied.

Best Answer

Take $Y_n=Z_n=N\sim\mathcal{N}(0,1)$, and let $Y$ and $Z$ be independent standard normal random variables. Then $Y_n\xrightarrow{d}Y$, $Z_n\xrightarrow{d}Z$, and $Y+Z\sim\mathcal{N}(0,a^2+b^2)$. However, $$ X_n=(a+b)N\xrightarrow{d}\mathcal{N}(0, (a+b)^2). $$


The result holds, however, when $X_n$ and $Y_n$ converge jointly to $\mathcal{N}(0,I_2)$.