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Consider a sequence of random variables $\{X_n\}_n$. Given that

$$X_n - \sqrt{n} c \to N(0,1)$$ in distribution ($c>0$ is a constant number bounded away from zero).

Show that for any constant $t>0$, we have

$$\lim_{n\to \infty} P(X_n>t)=1$$

[Update]

I use the following proof:

$$P(X_n>t)=P(X_n-\sqrt{n} c> t-\sqrt{n})=1-P(X_n-\sqrt{n}c<t-\sqrt{n}c)$$

$$\lim_{n\to\infty} P(X_n-\sqrt{n}c<t-\sqrt{n}c) = \lim_{n\to\infty} \Phi(t-\sqrt{n}c) = \Phi(-\infty)=0$$ where $\Phi$ is the CDF of $N(0,1)$.

So, we have $$\lim_{n\to\infty} P(X_n>t)=1$$

However, I am not sure whether the equation

$$\lim_{n\to\infty} P(X_n-\sqrt{n}c<t-\sqrt{n}c) = \lim_{n\to\infty} \Phi(t-\sqrt{n}c)$$

that I used above is correct or not. Any suggestion is welcomed.

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  • $\begingroup$ You might be stuck because the assertion is incorrect. Let $Z$ have a standard Normal distribution and set $X_n = Z - \sqrt n.$ This sequence of variables satisfies all the conditions of your question (with $c=1$). However, it should be obvious that $\lim_{n\to\infty} \Pr(X_n\gt t) = 0$ for any number $t.$ $\endgroup$
    – whuber
    Commented Mar 18 at 14:11
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    $\begingroup$ @whuber Do you mean $X_n = Z + \sqrt n$? If so, we would have $\lim_{n\to\infty} \Pr(X_n\gt t) = 1$. $\endgroup$
    – statmerkur
    Commented Mar 18 at 15:31
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    $\begingroup$ @whuber I do not quite understand your example. Why the sequence $X_n=Z-\sqrt{n}$ converges to $N(0,1)$? If $Z\sim N(0,1)$, I think $X_n$ does not converge to any distribution? $\endgroup$ Commented Mar 19 at 2:17
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    $\begingroup$ Here is a simpler proof using Dini's Theorem. $\endgroup$ Commented Mar 19 at 3:06
  • $\begingroup$ Let $X_n = Z-\sqrt n$ and take $c=-1.$ The sequence $X_n-c\sqrt n = (Z-\sqrt n)-(-\sqrt n)$ is constantly $Z$ which obviously converges and has a standard Normal distribution. $\endgroup$
    – whuber
    Commented Mar 19 at 13:12

1 Answer 1

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You are right to worry, the equality $$\lim_{n\to\infty} P(X_n-\sqrt{n}c<t-\sqrt{n}c) = \lim_{n\to\infty} \Phi(t-\sqrt{n}c)$$

is not correct, as the term $t-\sqrt n c$ depends on $n$ (see the definition of convergence in distribution here).

It's probably overkill, but here is an argument using Skorokhod's representation theorem : this theorem tells us that there exists a probability space $(\Omega,\mathcal F,\mathbb Q)$, and random variables $\tilde Z\sim\mathcal N(0,1), \tilde X_1, \tilde X_2,\ldots$ defined on it such that for all $n\ge 1$, $X_n$ and $\tilde X_n$ have the same distribution and $$\tilde X_n -\sqrt n c\to \tilde Z\quad \ \mathbb Q\text{-a.s.} $$

Now because $X_n$ and $\tilde X_n$ have the same law for all $n$, we can say for all $t>0$ : \begin{align} P(X_n\le t) &= \mathbb Q(\tilde X_n \le t)\\ &= \mathbb Q(\tilde X_n - \sqrt n c \le t -\sqrt n c)\\ &= \mathbb Q(\tilde X_n - \sqrt n c -\tilde Z + \tilde Z \le t -\sqrt n c)\\ &\le \mathbb Q(\tilde X_n - \sqrt n c -\tilde Z \le (t -\sqrt n c)/2)\tag1\\ &+ \mathbb Q(\tilde Z \le (t -\sqrt n c)/2)\tag 2\\ \end{align}

Where we used the fact that $\{X+Y\le k\}\subseteq \{X\le k/2\}\cup\{Y\le k/2\}$ together with the union bound for the last inequality.

For term $(1)$, we have (provided that $c>0$) that for all $n\ge (t+2)/c$, $(t -\sqrt n c)/2 \le -1 $, hence for all large enough $n$ \begin{align} \mathbb Q(\tilde X_n - \sqrt n c -\tilde Z \le (t -\sqrt n c)/2) &\le \mathbb Q(\tilde X_n - \sqrt n c -\tilde Z \le -1)\\ &=\mathbb Q(\tilde Z - \tilde X_n + \sqrt n c \ge 1)\\ &\le \mathbb Q(|\tilde Z - (\tilde X_n - \sqrt n c) |\ge 1) \end{align} and this last term goes to zero as $n\to\infty$ since a.s. convergence implies convergence in probability.

For term $(2)$, simply recall that we have $$ \mathbb Q(\tilde Z \le (t -\sqrt n c)/2) = \Phi((t -\sqrt n c)/2)$$

which also goes to zero as $n\to\infty$, so unless I made a mistake, we are done.


The result does not hold for $c\le 0$, as a counterexample given by @whuber shows : for all $n\ge1$, let $X_n = Z - \kappa\sqrt n$ where $Z\sim\mathcal N(0,1)$ and $\kappa\ge 0$, so that the sequence $X_n - (-\kappa\sqrt n) = Z$ obviously converges in distribution to a standard normal.

In this case however we have $$P(X_n>t) = P(Z>t + \kappa\sqrt n) = 1 - \Phi(t + \kappa\sqrt n) \not\to 1. $$

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