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Suppose X_n  {\buildrel p \over \rightarrow} X and $X_n \le Z,\forall n \in \mathbb{N}$. Show $X \le Z$ almost surely.

I've try the following, but I didn't succeed.

By the triangle inequality, $X=X-X_n+X_n \le |X_n-X|+|X_n|$. Hence, $P(X \le Z) \le P(|X_n-X| \le Z) + P(|X_n| \le Z)$. I know that, since X_n  {\buildrel p \over \rightarrow} X then $P(|X_n-X| \le Z) \to 1$, and we have $P( |X_n| \le Z)=1$.
I can't go further.

1 Answers 1

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$X_n {\buildrel p \over \rightarrow} X$ implies that there is a subsequence $X_{n(k)}$ with $X_{n(k)}\to X$ almost surely.

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    Thanks for pointing this, I overlooked this classic textbook.2011-11-07