Suppose Xn and X are real-valued random variables (defined on a common probability space). Prove that, if

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Suppose Xn and X are real-valued random variables (defined on a common probability space). Prove that, if Xn converges to X in probability, then Xn converges in distribution to X. Show by counterexample that the converse is false. However, show that if X is a constant with probability one, then Xn converging to X in distribution implies Xn converges to X in probability.

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Testing Statistical Hypotheses

ISBN: 9781441931788

3rd Edition

Authors: Erich L. Lehmann, Joseph P. Romano

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