Helly–Bray theorem

From Wikipedia, the free encyclopedia

In probability theory, the Helly–Bray theorem relates the weak convergence of cumulative distribution functions to the convergence of expectations of certain measurable functions. The first eponym is Eduard Helly.

Let F and F1, F2, ... be cumulative distribution functions on the real line. The Helly–Bray theorem states that if Fn converges weakly to F, then

\int_\mathbb{R} g(x)\,dF_n(x) \quad\xrightarrow[n\to\infty]{}\quad \int_\mathbb{R} g(x)\,dF(x)

for each bounded, continuous function g: R → R, where the integrals involved are Riemann-Stieltjes integrals.

Note that if X and X1, X2, ... are random variables corresponding to these distribution functions, then the Helly–Bray theorem does not imply that E(Xn) → E(X), since g(x) = x is not a bounded function.

In fact, a stronger and more general theorem holds. Let P and P1, P2, ... be probability measures on some set S. Then Pn converges weakly to P if and only if

\int_S g \,dP_n \quad\xrightarrow[n\to\infty]{}\quad \int_S g \,dP,

for all bounded, continuous and real-valued functions on S. (The integrals in this version of the theorem are Lebesgue-Stieltjes integrals.)

The more general theorem above is sometimes taken as defining weak convergence of measures (see Billingsley, 1999, p. 3).

[edit] References

  1. Patrick Billingsley (1999). Convergence of Probability Measures, 2nd ed.. John Wiley & Sons, New York. ISBN 0-471-19745-9. 

This article incorporates material from Helly–Bray theorem on PlanetMath, which is licensed under the GFDL.