The limiting behaviour of randomly indexed sequences

Let \(\{N_{n},n\geq 1\}\) be a sequence of positive integer-valued random variables defined on a probability space (\(\Omega ,\mathbb{F},P)\) with a nonatomic measure \(P.\) Let (\(S,\rho)\) be a separable complete metric space and let \(F\) and \(G\) be probability laws defined on \((S,\rho).\) The author presents necessary and sufficient conditions under which there exists an array \(\{X_{n,k},n\geq 1,k\geq 1\}\) of \(S\)-valued random elements such that \(X_{n,k}\overset {D} \cong F\), \(n\geq 1\), \(k\geq 1,\) and \[ X_{n,N_{n}}@> D>> G, \quad \text{as}\quad n\rightarrow \infty ,\tag{1} \] where \(X\overset {D}{\cong }F\) denotes that the law of \(X\) is \(F\). The author defines an array \(\{X_{n,k},n\geq 1,k\geq 1\}\) of \(S\)-valued random elements, but if one wants to have a sequence \(\{X_{n},n\geq 1\}\) such that \(X_{n}\overset {D}{\cong }F,n\geq 1,\) and \(X_{N_{n}}@>D>> G\), as n\(\rightarrow \infty ,\) the following additional assumption on \{\(N_{n},n\geq 1\}\) is needed: \(\sup_{\omega \in \Omega }N_{n-1}(\omega)\) \(<\inf_{\omega \in \Omega }N_{n}(\omega)\), \(n\geq 1.\) On the other hand, the author proves that the array \(\{N_{n,k}\), \(n\geq 1\), \(k\geq 1\}\) can be independent of \(\{N_{n}\), \(n\geq 1\}\) if and only if \(F=G.\) The author also presents the rate of weak convergence in (1). Let us observe that the results presented in the paper are also related to the transportation problem.

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