Can we say X_n converge to 0 in probability?

limfne2c

limfne2c

Answered question

2022-10-12

Can we say X n converge to 0 in probability?
For a sequence of random variables X i for i = 1 , , n, we have known the result
X n = O p ( n 1 / 3 ) .
Can we say X n converge to 0 in probability?
It seems that o p means the convergence in probability. That means if X n = o p ( n ), then,
X n n 0
in probability.

Answer & Explanation

Gael Irwin

Gael Irwin

Beginner2022-10-13Added 13 answers

Step 1
Let ϵ > 0. Then to show convergence in probability, we need to show that
lim n Pr [ | X n | > ϵ ] = 0.
Another way of writing this is that for all δ > 0 there exists an N such that for all n > N we have that
Pr [ | X n | > ϵ ] < δ .
Step 2
For any given δ, since X n = O p ( n 1 / 3 ) we have that there exists an M (dependent on δ) and an N ^ such that for all n > N ^ we have that
Pr [ | X n n 1 / 3 | > M ] = Pr [ | X n | < M n 1 / 3 ] < δ .
Now let N = max ( N ^ , ( M / ϵ ) 3 ). Then for all n > N we have that M n 1 / 3 ϵ. Thus, we get the needed statement.

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