Strong representation of weak convergence

DOI10.1007/S11425-014-4855-6MaRDI QIDQ487510zbMATH OpenOpenAlexFDO

Authors Jiang Hu, Zhidong Bai

Publication date 22 January 2015

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.6940

zbMATH Keywords

Polish spacerandom matricesSkorohod's representation theoremstrong representation of weak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Random matrices (probabilistic aspects) (60B20)

Abstract: Skorokhod's representation theorem states that if on a Polish space, there is defined a weakly convergent sequence of probability measures $m{u}_{n}stackrelwom{u}_0,$ as $noinfty$, then there exist a probability space $(Omega,mathscrF,P)$ and a sequence of random elements $X_n$ such that $X_{n}oX$ almost surely and $X_n$ has the distribution function $m{u}_n$, $n=0,1,2,cdots$. In this paper, we shall extend the Skorokhod representation theorem to the case where if there are a sequence of separable metric spaces $S_n$, a sequence of probability measures $m{u}_n$ and a sequence of measurable mappings $varph{i}_n$ such that $m{u}_{n}varph{i}_n^{-1}stackrelwom{u}_0$, then there exist a probability space $(Omega,mathscrF,P)$ and $S_n$-valued random elements $X_n$ defined on $Omega$, with distribution $m{u}_n$ and such that $varph{i}_n(X_n)o{X}_0$ almost surely. In addition, we present several applications of our result including some results in random matrix theory, while the original Skorokhod representation theorem is not applicable.

Review text

The main result of the present paper is the following extension of the Skorokhod representation theorem [\textit{A. V. Skorokhod}, Teor. Veroyatn. Primen. 1, 289--319 (1956; Zbl 0074.33802)]: { Theorem 1.1.} Let \(S_n\) for \(n=0,1,2,\ldots\) be a sequence of separable metric space and let \(\varphi_n\) for \(n=1,2,\ldots\) be a sequence of measurable mappings from \(S_n\) to \(S_0\). Suppose that \(\mu_n\) is a probability measure defined on the Borel field \(\mathfrak{B}_{S_n}\) generated by open subsets of \(S_n\) for \(n=0,1,2,\ldots\) and that the sequence of measures \(\mu_n\varphi_n^{-1}\) converges weakly to \(\mu_0\), then there exist \(S_n\)-valued random elements \(X_n\) for \(n=0,1,2,\ldots\) defined on a common probability space \((\Omega, \mathfrak{F},\mathbf{P})\) and such that \(X_n\sim \mu_n\) in \((S_n,\varrho_n)\) for \(n=0,1,2,\ldots\) and \(\varphi_n(X_n)\to X_0\) with probability 1 as \(n\to\infty\), where \(\varrho_n\) is the metric on \(S_n\).

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Cites work

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Cited in

(16)

• On strong forms of weak convergence
• Skorohod representation theorem via disintegrations
• A survey on Skorokhod representation theorem without separability
• Vague convergence in the Skorohod representation theorem
• An Extension of Skorohod's Almost Sure Representation Theorem
• scientific article; zbMATH DE number 4215030 (Why is no real title available?)
• Some extensions of the Skorohod representation theorem
• scientific article; zbMATH DE number 69201 (Why is no real title available?)
• scientific article; zbMATH DE number 168105 (Why is no real title available?)
• The Skorokhod representation theorem for Young measures
• Representation theorem for vague convergence in R
• A strong version of the Skorohod representation theorem
• Random walks in the high-dimensional limit. II: The crinkled subordinator
• Spiked eigenvalues of noncentral Fisher matrix with applications
• The asymptotic properties of the extreme eigenvectors of high-dimensional generalized spiked covariance models
• Skorohod representation on a given probability space

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