Solution

ID: past-exam-of-the-probability-course-of-the-university-of-oxford/2021/1/b/i/solution

Fix . Once , the following event inclusions hold outside :
Taking probabilities gives the explicit bounds
By the assumed convergence in probability, the error tends to zero. Therefore
The continuity of the cumulative distribution function at lets decrease to zero, proving This proves the needed implication directly, without invoking any theorem comparing convergence of random variables.

New to topics? Read the docs here!