Wednesday, 1 July 2015

probability - How to show two random variables have the same distribution?



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 XnX 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(|YnYm|>ϵ)=P(|XnXm|>ϵ) for arbitrary ϵ>0. This is true since (Xi,Xj) and (Yi,Yj) have the same distributions for all i,j.



Step2: XnX in probability implies Xn is Cauchy convergent in probability(meaning that for all ϵ>0, P(|XnXm|>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 YnY in probability. Actually, Y(ω)=limkYnk(ω) for a subsequence such that P(|YnkYnk+1|>ϵ)2k. And we can show YnY 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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