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Thread: Can probability limit be used as mean for asymptotic distribution?

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    Can probability limit be used as mean for asymptotic distribution?




    Hi there,

    I was wondering the following. If I have found that a variable X converges to some probability limit p and subsequently I wish to find the asymptotic distribution of that variable, can I say that sqrt(N)(X - p) has an asymptotic normal distribution with mean zero and some covariance sigma?

    I'm questioning this as the limit when n goes to infinity of E[X] is equal to the probability of X right, but how does it work the other way around?

    Thanks,

    Michael

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    Re: Can probability limit be used as mean for asymptotic distribution?


    Convergence in probability does not implies it has a asymptotic normal distribution. You will need to check the underlying variable satisfy the requirement of, say some version of Central Limit Theorem.

    Sorry I do not get the second paragraph of your inquiry.

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