Convergence in probability

cosmos 10th April 2019 at 10:58am
Convergence of random variables

We say that a Sequence of Random variables (Xn)nN(X_n)_{n\in \mathbb{N}} converges in probability to random variable XX, if:

For any ϵ>0\epsilon > 0, δ>0\delta > 0

there exists a sufficiently large n0n_0 such that
For all n>n0n>n_0
Pr[XnX>ϵ]<δ\text{Pr}\left[|X_n - X| > \epsilon\right] < \delta

Remember that the random variables may not be "random". I.e. a deterministic value is a particular case of a random variable in the technical sense.