35
$\begingroup$

If we have a sequence of random variables $X_1,X_2,\ldots,X_n$ converges in distribution to $X$, i.e. $X_n \rightarrow_d X$, then is $$ \lim_{n \to \infty} E(X_n) = E(X) $$ correct?

I know that converge in distribution implies $E(g(X_n)) \to E(g(X))$ when $g$ is a bounded continuous function. Can we apply this property here?

$\endgroup$
1
  • 10
    $\begingroup$ "Can we apply this property here?" No, because $g(\cdot)$ would be the identity function, which is not bounded. $\endgroup$
    – leonbloy
    Jun 3, 2012 at 15:59

2 Answers 2

35
$\begingroup$

With your assumptions the best you can get is via Fatou's Lemma: $$\mathbb{E}[|X|]\leq \liminf_{n\to\infty}\mathbb{E}[|X_n|]$$ (where you used the continuous mapping theorem to get that $|X_n|\Rightarrow |X|$).

For a "positive" answer to your question: you need the sequence $(X_n)$ to be uniformly integrable: $$\lim_{\alpha\to\infty} \sup_n \int_{|X_n|>\alpha}|X_n|d\mathbb{P}= \lim_{\alpha\to\infty} \sup_n \mathbb{E} [|X_n|1_{|X_n|>\alpha}]=0.$$ Then, one gets that $X$ is integrable and $\lim_{n\to\infty}\mathbb{E}[X_n]=\mathbb{E}[X]$.

As a remark, to get uniform integrability of $(X_n)_n$ it suffices to have for example: $$\sup_n \mathbb{E}[|X_n|^{1+\varepsilon}]<\infty,\quad \text{for some }\varepsilon>0.$$

$\endgroup$
0
25
$\begingroup$

Try $\mathrm P(X_n=2^n)=1/n$, $\mathrm P(X_n=0)=1-1/n$.

$\endgroup$
9
  • $\begingroup$ Could you please give a bit more explanation? $\endgroup$
    – wij
    Oct 10, 2015 at 14:25
  • $\begingroup$ @WittawatJ. About what? Please explain your problem. $\endgroup$
    – Did
    Oct 11, 2015 at 23:57
  • 1
    $\begingroup$ So in the limit $X_n$ becomes a point mass at 0, so $\lim_{n\to\infty} E(X_n) = 0$. Then $E(X) = 0$. I don't see a problem? $\endgroup$ Nov 18, 2018 at 2:46
  • 1
    $\begingroup$ Answering my own question: $E(X_n) = (1/n)2^n + (1-1/n)0 = (1/n)2^n$. Then taking the limit the numerator clearly grows faster, so the expectation doesn't exist. This begs the question though if there is example where it does exist but still isn't equal? $\endgroup$ Nov 18, 2018 at 2:53
  • $\begingroup$ @JosephGarvin Of course there is, replace $2^n$ by $7n$ in the example of this answer. $\endgroup$
    – Did
    Nov 18, 2018 at 10:13

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.