Paper 4, Section II, I

Probability and Measure | Part II, 2010

Let (Xn:nN)\left(X_{n}: n \in \mathbb{N}\right) be a sequence of independent normal random variables having mean 0 and variance 1 . Set Sn=X1++XnS_{n}=X_{1}+\ldots+X_{n} and Un=SnSnU_{n}=S_{n}-\left\lfloor S_{n}\right\rfloor. Thus UnU_{n} is the fractional part of SnS_{n}. Show that UnU_{n} converges to UU in distribution, as nn \rightarrow \infty where UU is uniformly distributed on [0,1][0,1].

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