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Feller negligibility cannot be removed from the converse
Statement refuted
Assume AC. A centered row-wise independent triangular array can have total row variance one and row-sum law N(0,1) for every n, while its maximum summand variance stays one and Lindeberg fails. Thus Feller negligibility cannot be omitted from the converse theorem.
Facts & Assumptions
A variable with standard normal law has mean zero and variance one. Characteristic function of a normal law.
Normalized Lindeberg quantities are the summed tail second moments. Total row variance and the Lindeberg condition.
The normal tail second moment is an integral against its positive density. Integrating against a density agrees with integrating the product.
An interval of length one has Lebesgue measure one. A box in with parameters is Lebesgue measurable of measure , whichever of its faces are included.
The exponential is positive and increasing on the real line. The exponential function is strictly increasing.
A positive pointwise lower bound gives a positive integral lower bound. Monotonicity and nonnegative homogeneity of the nonnegative integral.
Under AC, the standard normal density defines a probability measure on . Standard normal and normal laws.
Counterexample
Given: Assume AC. A centered row-wise independent triangular array can have total row variance one and row-sum law N(0,1) for every n, while its maximum summand variance stays one and Lindeberg fails. Thus Feller negligibility cannot be omitted from the converse theorem.
On the standard-normal probability space supplied by [F7], let Z be its coordinate and define , for . By [F1], every entry is centered and the total variance is one. Each row is independent: if an event for a zero coordinate excludes zero, both the intersection probability and the product are zero; otherwise all those events are the full space and the identity reduces to the event for Z. Thus the row sum is exactly Z for every n, its law is N(0,1), and the maximum summand variance equals one. Independence between rows is not required.
For each fixed epsilon>0, [F2] gives the Lindeberg quantity , independent of n. On , the integrand against the normal density is at least , by [F3] and [F5]. Integrating this bound over the length-one interval with [F4]–[F6] proves strict positivity. Hence the Lindeberg limit is not zero for any epsilon>0, despite exact normality of all row sums. The example works for n=1 as well. AC is inherited solely through construction of the normal law and its Lebesgue density; one Z is reused and no independent sequence across rows is constructed.
Depends on
- Characteristic function of a normal law
- Total row variance and the Lindeberg condition
- Integrating against a density agrees with integrating the product
- A box in $\mathbb{R}^n$ with parameters $a_i\le b_i$ is Lebesgue measurable of measure $\prod_{i<n}(b_i-a_i)$, whichever of its faces are included
- The exponential function is strictly increasing
- Monotonicity and nonnegative homogeneity of the nonnegative integral
- Row-wise independent centered triangular array
- Standard normal and normal laws
- Moments, variance, and covariance on a probability space
- The Axiom of Choice
Used by
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Sources
- Durrett, Probability: Theory and Examples, discussion after Theorem 3.4.14 (standard reference, not scraped)
- Billingsley, Probability and Measure, Example 28.4 (standard reference, not scraped)