# Tagged Questions

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### Convergence in conditional distribution

Definition: Suppose $Y_{n}$, $X$ and $Y$ are random variables. We say $$Y_{n}|X \Rightarrow Y$$ in probability if $$d(\pi_{Y_{n}|X},\pi_{Y})\rightarrow 0$$ in probability. where ...
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### Assumptions of Kolmogorov extension theorem

As far as I know, a class of spaces for which the Kolmogorov theorem works and which is closed under countable products, are the spaces of complete separable metric spaces which are also called Polish ...
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### Ultrametric space of stochastic filtration

Let $\Omega$ be an arbitrary set and $(\mathscr F_t)_{t\in \Bbb R_+}$ be a non-decresing sequence of $\sigma$-algebras on $\Omega$ such that any subset of $\Omega$ is contained is some of them, that ...
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### The completeness assumption in Prokhorov's theorem

Originally, I encountered this question on Terence Tao's blog, where the following exercise is presented: Exercise 23 (Implications and equivalences) Let $X_n, X$ be random variables taking values ...
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### Expected distance within a distribution is smaller?

consider we have two general distributions $f_1$ and $f_2$, assume they have different support $S_1$ and $S_2$. Is the expected distance btween two points draw from the same distribution smaller than ...
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### What does the sup function mean in the context of metrics for probability measures/distances/differences?

I was studying different probability metrics and distances and came across the following source: ...
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### Metric on the set of CDFs with finite p-th moment

Let $\mathcal{F}_p$, $p \ge 1$, be the set of all cumulative distribution functions of real valued random variables whose $p$-th moment is finite. I'm looking for a metric on $\mathcal{F}_p$ and ...
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### Computationally efficient means of determining distance in the Skorohod Topology?

I have two functions f and g in a computer. Domain 1...N. I'd like to compute their distance using the Skorohod Topology in an efficient manner. (I first ran across this metric many years ago in ...