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Tightness from characteristic function equicontinuity at zero

Statement

Assume AC. Let A be a family of Borel probability laws on R. For δ>0 put wδ(t)=δ1(1t/δ)+. Every μA satisfies μ{x4/δ}43Rwδ(t)(1Reϕμ(t))dt. If the characteristic functions are equicontinuous at zero, meaning that for every η>0 some r>0 satisfies ϕμ(t)1<η for every μA and t<r, then A is tight. AC supplies the countable choice used by the compact-interval integration bridge and the continuous-integrand calculus.

Facts & Assumptions

Given: The hypotheses and conventions in the statement.

[F1]

The real part of the characteristic function is the integral of cosine. Characteristic function of a real random variable.

[F2]

Fubini applies to absolutely integrable functions on sigma-finite products. Fubini's theorem for L^1 functions on a sigma-finite product.

[F4]

Under countable choice the bounded Riemann integral agrees with the Lebesgue integral. A bounded Riemann integrable function on a closed bounded interval is Lebesgue measurable and has the same integral.

[F5]

AC implies the countable choice used by the integration bridge. The Axiom of Choice.

[F6]

Tightness requires a single compact set for each error and the whole family. Tight family of probability measures.

[F7]

Sine and cosine have derivatives cosine and minus sine. The derivatives of sine and cosine are cosine and minus sine.

Proof

technique · direct
1.1

The continuous nonnegative weight is supported on [δ,δ] and has integral 2δ10δ(1t/δ)dt=1. Set Kδ(x)=wδ(t)cos(tx)dt. At x=0 it equals one. For x0, integration by parts on [0,δ], with u=1t/δ and v=sin(tx)/x, gives Kδ(x)=2δ2x0δsin(tx)dt=2(1cos(δx))δ2x2. All functions and their derivatives here are continuous on that interval; the primitive and integration bridge therefore apply. The formula gives Kδ0, while its defining integral and cos1 give Kδ1. Also Kδ(x)4/(δ2x2)1/4 when x4/δ, including equality in the cutoff.

F3F4F5F7F8F10
2.1

The function wδ(t)(1cos(tx)) is jointly Borel, nonnegative, and has product integral at most 2wδ=2: Lebesgue measure is sigma-finite and μ is finite. Fubini and the characteristic-function definition yield wδ(t)(1Reϕμ(t))dt=(1Kδ(x))μ(dx)34μ{x4/δ}. Nonnegativity off the tail justifies discarding its complement. Rearrangement proves the quantitative assertion.

F1F2step 1.1
3.1

Given ε>0, equicontinuity supplies r>0 with 1ϕμ(t)<3ε/8 whenever t<r, uniformly in μ. Choose 0<δ<r. The weight has mass one, so the integral in the bound is at most 3ε/8. Thus μ(R[4/δ,4/δ])ε/2<ε for every member. The interval is compact, proving tightness. For an empty family the empty compact set suffices. A singleton family and an atom at zero satisfy the same calculation (the latter has zero right-hand side). There is no assertion at δ=0, where the weight is undefined.

step 1.1step 2.1F6F9

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