I have a question on convergence: I have to prove that $\frac{n}{U_{n}} \longrightarrow 1$ in probability, where $U_{n}=\sum X_{i}$, $X_{i}\sim \mathrm{Exp}(1)$ and because of this, $U_{n}\sim \mathrm{Gamma}(n,1)$.

This problem had two parts, the other part was to prove that $\frac{U_{n}}{n}\longrightarrow 1$ in probability which I proved invoking the weak law for big numbers. But this, I have no clue how to prove it.

Thanks so much for your help! :)


I think you can use the continuous mapping theorem on the other part of the question.

  • $\begingroup$ So I just have to use $g(x)=x^{-1}$, and then, since $\frac{U_{n}}{n}$ converges in probability to 1, then $g( \frac{U_{n}}{n})= \frac{n}{U_{n}}$ converges in probability to $g(1)=1$ ? That simple? Thanks! :) $\endgroup$ – user1trill Nov 28 '18 at 22:11
  • 1
    $\begingroup$ Yes. Ideally, you define $g(0)=0$ and note that the set of discontinuity points is indeed a $P_X$-zero-set :) (as $U_n$ can be $0$) $\endgroup$ – Stockfish Nov 29 '18 at 10:09

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