Let {Xn} and {Yn} be sequences of random variables such that the pairs (Xi,Xj) and (Yi,Yj) have the same distributions for all i,j. If Xn→X in probability, show that Yn converges in probability to some limit Y having the same distribution
I am trying to prove it in the following steps:
Step1: Show that P(|Yn−Ym|>ϵ)=P(|Xn−Xm|>ϵ) for arbitrary ϵ>0. This is true since (Xi,Xj) and (Yi,Yj) have the same distributions for all i,j.
Step2: Xn→X in probability implies Xn is Cauchy convergent in probability(meaning that for all ϵ>0, P(|Xn−Xm|>ϵ) goes to zero as m,n go to ∞). So Yn is Cauchy convergent in probability as well.
Step3: Show that there exists a random variable Y such that Yn→Y in probability. Actually, Y(ω)=limk→∞Ynk(ω) for a subsequence such that P(|Ynk−Ynk+1|>ϵ)≤2−k. And we can show Yn→Y in probability using Borel Cantelli Lemma.
Step4: Show Y have the same distribution as X.
I am having trouble about Step4. So do (Xi,Xj) and (Yi,Yj) have the same distributions imply Xn and Yn are identically distributed?
Answer
(Xn,Xn+1)→(X,X) in probability and (Yn,Yn+1)→(Y,Y) in probability. Hence (X,X) has same distribution as (Y,Y) which implies that X has the same distribution a Y.
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