Let (left{X_{n}ight}_{n=1}^{infty}) be a sequence of random variables such that (X_{n}) has a (mathrm{N}left(0, sigma_{n}^{2}ight)) distribution, conditional
Question:
Let \(\left\{X_{n}ight\}_{n=1}^{\infty}\) be a sequence of random variables such that \(X_{n}\) has a \(\mathrm{N}\left(0, \sigma_{n}^{2}ight)\) distribution, conditional on \(\sigma_{n}\). For each case detailed below, determine if the sequence \(\left\{X_{n}ight\}_{n=1}^{\infty}\) is uniformly integrable and determine if \(X_{n}\) converges weakly to a random variable \(X\) as \(n ightarrow \infty\).
a. \(\sigma_{n}=n^{-1}\) for all \(n \in \mathbb{N}\).
b. \(\sigma_{n}=n\) for all \(n \in \mathbb{N}\).
c. \(\sigma_{n}=10+(-1)^{n}\) for all \(n \in \mathbb{N}\).
d. \(\left\{\sigma_{n}ight\}_{n=1}^{\infty}\) is a sequence of independent random variables where \(\sigma_{n}\) has an \(\operatorname{ExpOnential}(\theta)\) distribution for each \(n \in \mathbb{N}\).
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