On Asymptotic Proximity of Distributions

Abstract

We consider some general facts concerning convergence P_{n}-Q_{n}\to 0 as n\to \infty, where P_{n} and Q_{n} are probability measures in a complete separable metric space. The main point is that the sequences {P_{n}} and {Q_{n}} are not assumed to be tight. We compare different possible definitions of the above convergence, and establish some general properties.