Math 472 Homework Assignment 6

Problem 5.2.1. Let X n denote the mean of a random sample of size n

from a distribution that is N (µ, σ 2 ). Find the limiting distribution of X n .
Solution 5.2.1. Since the random sample is taken from a distribution with
finite mean µ and finite variance σ 2 , we may apply the weak law of large
numbers to conclude that {X n } converges to µ in probability. Theorem
5.2.1 says that if a sequence of random variables {Yn } converges to the
random variable Y in probability, then {Yn } converges to Y in distribution.
Therefore, since {X n } converges to µ in probability we conclude that {X n }
converges to µ in distribution. Hence the limiting distribution for X n is the
distribution of the degenerate random variable µ,
(
0, x < µ
Fµ (x) = .
1, x ≥ µ
Problem 5.2.2. Let Y1 denote the minimum of a random sample of size n
from a distribution that has pdf f (x) = e−(x−θ) , θ < x < ∞, zero elsewhere.
Let Zn = n(Y1 − θ). Investigate the limiting distribution of Zn .
Solution 5.2.2. A routine calculation shows that P (Y1 > y) = e−n(y−θ) for
y > θ, and P (Y1 > y) = 1 for y ≤ θ. Since the support of Y1 is the interval
(θ, ∞) it follows that the support of Zn = n(Y1 − θ) is the interval (0, ∞)
and therefore FZn (t) = P (Zn ≤ t) = 0 for all t ≤ 0. Let t > 0, then
FZn (t) = P (Zn ≤ t)
= P (n(Y1 − θ) ≤ t)
t
= P (Y1 ≤ + θ)
n
t
= 1 − P (Y1 > + θ)
n
= 1 − e−t .
We see that, for every natural number n, FZn is the cdf for the exponential
distribution with mean µ = 1. Therefore, {Zn } converges in distribution to
an exponential distribution with mean µ = 1.
Problem 5.2.5. Let the pmf of Yn be pn (y) = 1, y = n, zero elsewhere.
Show that Yn does not have a limiting distribution. (In this case, the prob-
ability has “escaped” to infinity.)
Solution 5.2.5. The cdf for the degenerate random variable Yn is
(
0, y < n
FYn (y) = .
1, y ≥ n
For all y, limn→∞ FYn (y) = 0. To show that Yn does not have a limiting
distribution, we must show that there does not exist a distribution function
1
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F with the property that F (y) = 0 for every y ∈ C(F ). Equivalently, we

must show that if F is a distribution function then there exists a point y
such that F is continuous at y and F (y) 6= 0.
Let F be a distribution function. Since limy→∞ F (y) = 1, there exists
a real number y0 such that F (y) > 1/2 for all y > y0 . Recall that the set
of discontinuous points for a distribution is always a countable set. Since
the interval (y0 , ∞) is an uncountable set, there must be at least one point
y ∈ (y0 , ∞) such that F is continuous at y. Since y > y0 , we also have that
F (y) > 1/2 > 0. Therefore every distribution function F has at least one
point y such that F is continuous at y and F (y) 6= 0. We conclude that Yn
does not have a limiting distribution.

Problem 5.2.7. Let Xn have a gamma distribution with parameter α = n

and β, where β is not a function of n. Let Yn = Xn /n. Find the limiting
distribution of Yn .

Solution 5.2.7. From Appendix D on page 667 we see that E[Xn ] = nβ

and Var[Xn ] = nβ 2 , and therefore E[Yn ] = E[Xn /n] = β and Var[Yn ] =
Var[Xn /n] = β 2 /n. Since the expected value of Yn does not depend on n
and since the variance of Yn is a constant divided by n, Exercise 5.1.3 on page
293 shows that {Yn } converges to β in probability. Applying Theorem 5.2.1
on page 298 shows that {Yn } converges to β in distribution. We conclude
that the limiting distribution of Yn is the distribution for the degenerate
random variable β,
(
0, t < β
Fβ (t) = .
1, t ≥ β

Problem 5.2.12. Prove Theorem 5.2.3.

Solution 5.2.3.
Theorem. Suppose Xn converges to X in distribution and Yn converges in
probability to 0. Then Xn + Yn converges to X in distribution.
Proof. Let x be a continuous point for FX . We want to show that limn→∞ FXn +Yn (x) =
FX (x).
Let  > 0 be given. Suppose that x+ and x− are also continuous points
for FX . Observe that Xn + Yn ≤ x and |Yn | ≤  imply that Xn ≤ x + .
Thus,
FXn +Yn (x) = P (Xn + Yn ≤ x)
= P (Xn + Yn ≤ x, |Yn | < ) + P (Xn + Yn ≤ x, |Yn | ≥ )
(1) ≤ P (Xn + Yn ≤ x, |Yn | ≤ ) + P (Xn + Yn ≤ x, |Yn | ≥ )
≤ P (Xn ≤ x + ) + P (|Yn | ≥ )
= FXn (x + ) + P (|Yn | ≥ ).
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D
Since Xn −
→ X and since x +  is a continuity point for FX we have that
lim FXn (x + ) = FX (x + ),
n→∞
P
and since Yn −
→ 0 we have that
lim P (|Yn | ≥ ) = 0.
n→∞
The inequality in (1), together with these last two limits, shows that
(2) lim sup FXn +Yn (x) ≤ FX (x + ).
n→∞
Now, observe that Xn + Yn > x and |Yn | <  imply that Xn > x − .
Thus,
1 − FXn +Yn (x) = P (Xn + Yn > x)
= P (Xn + Yn > x, |Yn | < ) + P (Xn + Yn > x, |Yn | ≥ )
≤ P (Xn > x − ) + P (|Yn | ≥ )
= 1 − FXn (x + ) + P (|Yn | ≥ ).
Rearranging the terms of this inequality yields
(3) FXn (x − ) − P (|Yn | ≥ ) ≤ FXn +Yn (x).
D
Since Xn −
→ X and since x −  is a continuity point for FX we have that
lim FXn (x − ) = FX (x − ),
n→∞
P
and since Yn −
→ 0 we have that
lim P (|Yn | ≥ ) = 0.
n→∞
The inequality in (3), together with these last two limits, shows that
(4) FX (x − ) ≤ lim inf FXn +Yn (x).
n→∞
Combining inequalities (2) and (4) we have
(5) FX (x − ) ≤ lim inf FXn +Yn (x) ≤ lim sup FXn +Yn (x) ≤ FX (x + ).
n→∞ n→∞
The inequalities in (5) require that x −  and x +  be continuity points
for FX . We claim that there exists a sequence of positive numbers {k } such
that limk→∞ k = 0 and for all natural numbers k the points x ± k are
continuity points for FX . This claim is an immediate consequence of the
fact that the set of discontinuous points of FX is countable.
Choose {k } as described in the previous paragraph. Since FX is continu-
ous at x, limk→∞ FX (x ± k ) = FX (x). Since FX is continuous at the points
x ± k for every natural number k,
(6) FX (x − k ) ≤ lim inf FXn +Yn (x) ≤ lim sup FXn +Yn (x) ≤ FX (x + k ).
n→∞ n→∞
Finally, letting k → ∞ in (7) shows that limn→∞ FXn +Yn (x) = FX (x), and
D
we conclude that Xn + Yn −
→ X. 
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Problem 5.2.20. Use Stirling’s formula, (5.2.2), to show that the first limit
in Example 5.2.3 is 1.
Solution 5.2.20. Let us introduce three sequences,
Γ n−1


2 +1
(7) an = √
n/2
2π n−1 2 e−(n−1)/2
√
(n−1)/2 −(n−2)/2
2π n−2 2 e
(8) bn = n−2


Γ 2 +1
2 n − 1 n/2
r  
−1/2
(9) cn = e 1− .
n n−2
Stirling’s formula states that
Γ(k + 1)
lim √ 1 = 1.
k→∞ 2πk k+ 2 e−k
We may apply Sterling’s formula to an with k = (n − 1)/2 to conclude that
limn→∞ an = 1. In a similar way we may apply Steling’s formula to bn with
k = (n − 2)/2 to conclude that limn→∞ bn = 1.
Notice that limn→∞ [(n − 1)/(n − 2)]n/2 is a 1∞ indeterminant form. Ap-
plying Calculus II methods that are taken from the section on L’Hôpital’s
Rule we are able to evaluate that limit. We leave it as an exercise to con-
firm that limn→∞ [(n − 1)/(n − 2)]n/2 = e1/2 . Knowing this, we see that
limn→∞ cn = 1.
After some simplification, which we leave to the student, we find that
Γ[(n + 1)/2]
an · bn · cn = p .
n/2 Γ(n/2)
We therefore conclude that
Γ[(n + 1)/2]
lim p = lim an · bn · cn = 1 · 1 · 1 = 1.
n→∞ n/2 Γ(n/2) n→∞