The linear topology associated with weak convergence of probability measures

Abstract

This expository note aims at illustrating weak convergence of probability measures from a broader view than a previously published paper. Though the results are standard for functional analysts, this approach is rarely known by statisticians and our presentation gives an alternative view than most standard probability textbooks. In particular, this functional approach clarifies the underlying topological structure of weak convergence. We hope this short note is helpful for those who are interested in weak convergence as well as instructors of measure theoretic probability.