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Convergence theorem for moment-generating functions

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Probability distribution Moment-generating function
2026-10-25  0 By others on same topic  0 Discussions Create my own version
Suppose the moment-generating functions Mn​ are finite on a common open interval (−a,a) containing zero and converge there pointwise to the moment-generating function MX​ of a random variable X, with MX​ finite there. Then Xn​ tends to X in distribution. Equivalently, a finite pointwise limit on such an interval is the moment-generating function of a unique limiting probability distribution. This theorem requires control on a neighborhood of zero; convergence of isolated moments is a different hypothesis.

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  • Past exam of the probability course of the University of Oxford / 2023 / 2 / a / Solution

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