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Statistics
TheAnnalsofMathematical
1970,Vol. 41, No. 1,284-291
of Chicago
University
d, and
metricspace,withdistancefunction
Let S be an arbitrary
1. Introduction.
distributions
letY' be itsBorela-algebra.DenotebyY(S) theclass ofall probability
on (S, 9). A net(Py)y of probabilitiesP e (S) is said to convergeweaklyto a
probabilityP eG (S) if P(f) = lim Pf(f) foreach real-valuedboundedcontinuous
functionf on S; here P(f) = ffdP, PY(f) = ffdPY. Let gs(S) denote the subclass of CA(S)consistingof thoseprobabilitiesP forwhichthereexistsa separable
one. gS(S) includestheso-calledtightprobabilities
subsetofS in f ofP-probability
i.e. probabilitiesP such thatsup {P(K): Kcompact} = 1 ([5] page 29). The chief
resultofthispaperis statedin thefollowing.
be a netofprobabilities
THEOREM1. Let (S, d) be a metricspace and let (Py)yEr
P E gs(S). Thenthereexistsa probability
weaklytoa probability
PYG i7(S)converging
on Q
X andX/(yE F) defined
S-valuedfunctions
space (Q, ., ji) andA-9- measurable,
- 1 ofXyare respectively
uX- ' ofX and luXy
P andPy(yE F)
suchthatthedistributions
toXalmostuniformly.
andsuchthatXyconverges
One sometimes([1], [8]) has occasion to considerthe weak convergenceof
distributions
probability
Pywhichare definedonlyon certainsub-c-algebrasof9,
in Theorem1 thatthe
of interestto knowthatthe requirement
and it is therefore
PY belongto 3d(S) can be weakened.To make thisprecise,let us say thata net
ofprobabilities
(Py)yEr
Pydefinedon sub-c-algebras-4yof " convergesweaklyto a
P E ^(S) iflimyPY(f) = Pff) = limyPY(f) foreach real-valuedbounded
probability
theupperand lower
continuousfunctionfon S; here Pyand Pydenoterespectively
associatedwithPY:
probabilities
PY(f) = inf{Py(g):f < g, Py(g)defined}
PY(f)
of thisdefinition
see Theorem1 of [8]). It is clearthat
(forequivalentformulations
thisdefinition
of weak convergence
reducesto theusual one ifall the -4yequal Y.
Let Y' denotethesub-c-algebraof S9 generatedby the open balls of S. We then
extensionofTheorem1:
havethefollowing
THEOREM2. Let S, 9, and Yo be definedas above and let (Py)yerbe a net of
in 9, which
probabilities
g'o and contained
Py,definedon a-algebras 4y containing
ReceivedOctober23,1968;revisedAugust7, 1969.
l Thisresearch
was supported
in partbyResearchGrantNo. NSF-GP-8026fromtheDivision
of Mathematical,
Physicaland Engineering
Sciencesof theNationalScienceFoundation,
and,in
partfromtheStatistics
Branch,Office
ofNavalResearch.
284
285
(2)
=x-
(3)
- P,
Xy-X
measurable (yeF)
uX,-1 = PY(yeFr)
almostuniformly.
X( (s,(so)oer)) = S,
Xy((s, (SO)oer))
The requiredmeasurability
properties
clearlyhold.
Let k: y-- k(y)be anyfunction
fromF to {0, 1, 2, ..,
(5)
sy(y F).
o} suchthat
limye r k(y)= oo
= X}.
Uk = nyy:k(y)>k{XY
286
MICHAEL J. WICHURA
(7)
bs x HlyerMj,s,y
if
0 ? k(y)<j,
if
(Q, X) by
(8)
Clearly 1X-1 = p
tjXy- = Qy
=P
if
0 ? k(y)<j
if
j<k(y)<
oo,
= I ifj? k.
and puj(Uk)
Finally,let (wk)1
(9)
Wk _
(10)
k<0,
Z Wk = 1
Ek
Clk
Wk<
andput
(I1)
Ejwjpj.
Clearly iX- 1 = p
( 12)
(13)
1elXY -
)k(y) P + (I -t)k(y))Qy
/(Uk) >?
and
k(l
withrespect
Since limk-o Ck = 1, (13) impliesthat Xy-+ X almost uniformly
in
of (12), to
in
it
view
this
suffices,
setting
to p. To comp1-tethe proof
special
of Pyto P impliestheexistenceof k(y)'ssatisfying
showthattheweak convergence
(5) and probabilitiesQysatisfying
(14)
Py=
0k(y) P +
-(l
Wk(y))QY
P1. = P,
287
(17)
Mk.y=
min ES
P{S})
qk,s,y
Ink(y),y?
and
Qy = EseSqk(y),s,y6s.
(19)
Py{s}
-+
P{s}
(21)
0?
Py{s}?(+
k/(1-
k) )(Py{s}-P{S})
< 1
for each s e S and arbitrarilylarge k; since Wk/(l - Wk) -+ oc, it follows that
Py{s} = P{s} for each seS, i.e., that (15) holds. This completesthe proof of
Theorem1 forF countableand S finite.
2 in the general case. Let P, Py(yeF), ?, Y'0, and
3. Proof of Theorenm
e
be as in Theorem2. Let W(P) = {C e : P(boundaryof C) = 0} be the
y(y-F)
class of P-continuity
sets.We recall ([5] page 50) thatW(P) is an algebraand that
foreach s e S, theopen ball
(22)
1. In thepresentcontext,C e(P)
implies
(23)
P(C) ? liminfy
PY(C) ? limsupyPY(C) < P(C),
288
MICHAEL J. WICHURA
Ak >
(25)
Ak = O
limk,
Ek Sk <
Ek > ?,
00-
(26)
(27)
Cm1,... mk-1
CmI,
EO<mkk<nk
1<j<kmax1
maxO<j<nj,
(28)
-,,nk
_mk_nkd(Cml,
ZO<mj_nj,l 1j<kP(Cml
_1,1k
,mk)
Ak
-k
nmk- l,O)
(29)
CMl,
c-
* * *, mk
(P)
? m1 ? n1),
Cm(1
CO =
S-Un<nlEn
max,?<m?nid(Cml)< A1,P(CO)
S-E
CO,C
81C,
1m?nm?nCm1Iweget
** ,Cn,1e(P)nft0
The proofis completedbyinductionon k. 0
Let Hk(1 ? k < oo) be the finitepartition of S whose members are the Cml,...mk,
and put Ho = {S}. Choose and fixnumbersWksatisfying
(9) and defineokkby(10).
<
For 0 k < oo, CeHik,and y eF, set(confer(16), (17), and (19) )
S=EOZmi?niCmi,
qk,C,y =
(30)
Py(C) + (Py(C)
P(C) )(k/(l
k(y)=sup {j
0: m., _ 0}.
(31)
(32)
C),
(-)k(y)
(ZC e
rk(y)
Py(|
C)P(C))
+(1
Ok(y))Qy
Py
289
Vj'S= bs X flyvj,s,y
be the productprobabilityon (Q, d) whose componentsare respectively:b
definedon (S, 9), and
(34)
= PYO Ck(y)s)
if
0 ? k(y)<i,
j < k(y)< oo,
= bs
if
k(y)= oo,
= QY
VJ,S,Y
if
v=
(35)
In thepresentcontext,
(37)
(y eF)
X is sl'-9' measurable,Xyis '-.4y measurable
vX-' = P
(38)
vX,- I = PY(yeF).
(36)
For (38),
PROOF. Relations(36) and (37) followdirectlyfromthe definitions.
observethat
vX
' (=
k(y)(ECenk(,)
Py(
IC)P(C))+(1
-Ok(y))Qy
if
if
to a?y
restricted
0 < k(y)<
k(y)= ci.
00,
In viewof (33), (38) holds when0 < k(y)< oo. It remainsto show that(38) holds
hereis similarto, butmorecomplicatedthan,thatat
whenk(y)= oo; theargument
(21). Put
(39)
Dk =
EO0mj?nj,1?j<kEl?mk<nk
CmI,
,mk(k _
1);
D = liminfkDk
P(D) = 1.
W = Uk
290
MICHAEL J. WICHURA
De
ryrDcrD=
/DCCU<W>.
Uk=
nY:k(y)>k{d(Xy, X)
?k(y)}
overeach
XY-*X uniformly
(44)
Uk
Iimk, V*(Uk)= I
(45)
PROOF. We get (44) from(24), (31), and (43). For (45) put Ek = infm,kDm(1 <
k < oo),whereDm is definedby (39). Suppose that UkcA Ed/. Then thereexists
([4] page 81) a countablesubset1A of f suchthatA dependsonlyon X and theX,
withy [A; it followsthat
er
ny
rA;
k(y)> k {d(Xy,
X) < Ak(y)}C A
(theseton theleftneed notbelongto d/). Thus forj < k we have (confer(34) and
(27))
vj(A) = fsvj,s(An {X = s})P(ds)
>
_V__S(nY6rA;k(y)?k{d(XY,S) ? Ak}(y)P(ds)
= P(Ek).
291
JU(Uk)
foreachk.
PROOF. Put
Bk*E sl
Bk
Uk-
Uk-
(1
V*(Uk)
v*(Bk)(1
<
I(Yk
Ak
Bk)
Ek fAkfk
moreoverthe
dv
(47). Then
(48)
,u(Uk)
hi(Zj_kBj)
= YjkJffjdv
<kBj *(
v(UjikBj*).
(49)
On the otherhand, suppose UkcA E X, so thatBjc A forj < k. Then each Bj*,
and hencealso U .<kB*, is containedin A up to a v-equivalence.It followsthat
v(A) ? v(Ui<kBi*) andthat
(50)
Statist.39 1963-1572.
[4] NEVEU,J. (1965). MathematicalFoundationsof the Calculus of Probability.Holden-Day, Inc.,
San Francisco.
D. R. (1967). ProbabilityMeasures on Metric Spaces. Academic Press,
[51 PARATHASARATHY,
New York.
ofweaklyconvergent
ofalmostsurelyconvergent
constructions
[6] PYKE,R. (1968).Applications
Berlin.
processes.Proc. Internat.Symp.Prob. Inform.Theor.Springer-Verlag,
[7] SKOROKHOD,A. V. (1956). Limit theoremsforstochasticprocesses (translatedby SIAM). Th.
ProbabilityAppl. 1 261-290.
ofnon-Borel
on a metric
[8] WICHURA,MICHAELJ.(1968).On theweakconvergence
probabilities
ColumbiaUniv.
dissertation,
space.Unpublished