Anatoliy Skorokhod

Skorokhod's representation theorem

In mathematics and statistics, Skorokhod's representation theorem is a result that shows that a weakly convergent sequence of probability measures whose limit measure is sufficiently well-behaved can be represented as the distribution/law of a sequence of random variables defined on a common probability space. It is named for the Ukrainian mathematician A.V. Skorokhod.

Statement of the theorem

Let μn, n ∈ N be a sequence of probability measures on a topological space S; suppose that μn converges weakly to some probability measure μ on S as n → ∞. Suppose also that the support of μ is separable. Then there exist random variables Xn, X defined on a common probability space (Ω, FP) such that

  • (Xn)(P) = μn (i.e. μn is the distribution/law of Xn);
  • X(P) = μ (i.e. μ is the distribution/law of X); and
  • Xn(ω) → X(ω) as n → ∞ for every ω ∈ Ω.

References

  • Billingsley, Patrick (1999). Convergence of Probability Measures. New York: John Wiley & Sons, Inc.. (see theorem 29.6)

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