diff --git a/inputs/prerequisites.tex b/inputs/prerequisites.tex index ac622d2..713cd6f 100644 --- a/inputs/prerequisites.tex +++ b/inputs/prerequisites.tex @@ -46,6 +46,7 @@ from the lecture on stochastic. \end{definition} % TODO Connect to AnaIII +\pagebreak \begin{theorem}+ \label{thm:convergenceimplications} \vspace{10pt} @@ -109,20 +110,14 @@ from the lecture on stochastic. $X_n \xrightarrow{L^1} X \implies X_n\xrightarrow{\bP} X$ \end{claim} \begin{subproof} - Let $\bE[|X_n - X|] \to 0$. - Suppose there exists an $\epsilon > 0$ such that - $\limsup\limits_{n \to \infty} \bP[|X_n - X| > \epsilon] = c > 0$. - W.l.o.g.~$\lim_{n \to \infty} \bP[|X_n - X| > \epsilon] = c$, - otherwise choose an appropriate subsequence. - We have - \begin{IEEEeqnarray*}{rCl} - \bE[|X_n - X|] &=& \int_\Omega |X_n - X | \dif\bP\\ - &=& \int_{|X_n - X| > \epsilon} |X_n - X| \dif\bP - + \underbrace{\int_{|X_n - X| \le \epsilon}|X_n-X|\dif\bP}_{\ge 0}\\ - &\ge& \epsilon \int_{|X_n -X | > \epsilon} \dif\bP\\ - &=& \epsilon \cdot c > 0 \lightning - \end{IEEEeqnarray*} - \todo{Improve this with Markov} + Suppose $\bE[|X_n - X|] \to 0$. + Then for every $\epsilon > 0$ + \begin{IEEEeqnarray*}{rCl} + \bP[|X_n - X| \ge \epsilon] + &\overset{\text{Markov}}{\ge}& \frac{\bE[|X_n - X|]}{\epsilon} + &\xrightarrow{n \to \infty} & 0, + \end{IEEEeqnarray*} + hence $X_n \xrightarrow{\bP} X$. \end{subproof} \begin{claim} %+ $X_n \xrightarrow{\bP} X \implies X_n \xrightarrow{\text{dist}} X$. @@ -142,13 +137,15 @@ from the lecture on stochastic. we have $\bP[|X_n - X| > \delta] < \frac{\epsilon}{2}$. It is - \[|F_n(t) - F(t)| - = |\bP[X_n \le t] - F(t)| - \le \max(|\frac{\epsilon}{2} + \bP[X \le t + \delta] - F(t)|, - |\bP[X \le t -\delta] - F(t)|)\\ - \le \max(|\frac{\epsilon}{2} + F(t + \delta) - F(t)|, |F(t-\delta) -F(t)| - \le \epsilon, - \] + \begin{IEEEeqnarray*}{rCl} + |F_n(t) - F(t)| + &=& |\bP[X_n \le t] - F(t)|\\ + &\le& \max(|\frac{\epsilon}{2} + \bP[X \le t + \delta] - F(t)|, + |\bP[X \le t -\delta] - F(t)|)\\ + &\le& \max(|\frac{\epsilon}{2} + F(t + \delta) - F(t)|, + |F(t-\delta) -F(t)|)\\ + &\le& \epsilon, + \end{IEEEeqnarray*} hence $F_n(t) \to F(t)$. \end{subproof} \begin{claim}