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Weakly convergent sequences are tight
Statement
Assume AC. If on a Polish space, then is tight.
Facts & Assumptions
Prokhorov tightness theorem on polish spaces: Assume AC. A family of Borel probabilities on a Polish space S is tight if and only if it is relatively sequentially compact for weak convergence.
Proof
Given: The objects, hypotheses and definitions in the statement. Its conclusions are to be established below.
Consider any sequence of laws from the displayed family. If some law occurs infinitely often, it has a constant subsequence. Otherwise each law occurs only finitely often. Assign every law unequal to its least index in the original sequence. Removing finitely many selected terms for each bounded set of such indices leaves a subsequence whose assigned indices increase to infinity; its weak limit is by the given convergence.
Thus every sequence in the family has a weakly convergent subsequence with a probability limit on S. The reverse implication of F1, with the stated AC and Polish hypotheses, yields tightness.
Depends on
Used by
- Cramer wold device Theorem
Dependency tree · two levels
13 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Durrett, §§2.4–2.5, pp. 76–87 (standard reference, not scraped)