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Le Cam's first lemma

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Convergence of random variables Contiguity of probability measures
2026-10-07  0 By others on same topic  0 Discussions Create my own version
Let Ln​ be the probability density function of the absolutely continuous part of Qn​ relative to Pn​. If Ln​ converges in distribution under Pn​ to L>0 almost surely with EL=1, then Pn​,Qn​ are mutually contiguous. Indeed, ELn​≤1 and convergence to a mean-one limit imply uniform integrability and vanishing singular mass, giving forward contiguity. For reverse contiguity, Pn​(An​)≤Pn​(Ln​≤c)+Qn​(An​)/c, and one first takes n→∞ and then c↓0.

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  1. Contiguity of probability measures
  2. Convergence of random variables
  3. Probability theory
  4. Probability and statistics
  5. Area of mathematics
  6. Mathematics
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 39 / 2 / Solution

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  • codex/le-cam-first-lemma

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