# convergence in distribution and convergence of quantile

Suppose real-valued random variables $\{X_{n}\}$ converges to $X$ in distribution. Then, will the quantile of the distribution of $\{X_n\}$ converge to the quantile of $X$? .

-

## 1 Answer

Yes. If $X$ is a random variable with distribution function $F$, then for $0<p<1$ define the quantile function as $Q(p)=\inf(x: F(x)\geq p)$. Then $X_n\to X$ in distribution if and only if $Q_n(p)\to Q(p)$ at all continuity points $p$ of $Q$.

Added: It's a nice exercise to prove this result from the definition. On the other hand, it is Proposition 5 (page 250) in A Modern Approach to Probability Theory by Bert Fristedt and Lawrence Gray, and is also proved in Chapter 21 of Asymptotic Statistics by A. W. van der Vaart.

-

But what if $Q$ is not continuous at $p$? – webster Dec 25 '11 at 11:09
Suppose we know that $F$ is strictly increasing. Will this additional condition help? – webster Dec 25 '11 at 14:08
The discontinuity points of $Q$ correspond to the "flat spots" on the graph of $F$ (Draw a picture!). So if $F$ is strictly increasing, then $Q$ is continuous at all $0<p<1$. – Byron Schmuland Dec 25 '11 at 15:26
Yes. But what will be the formal proof? – webster Dec 25 '11 at 16:25
{"extraction_info": {"found_math": true, "script_math_tex": 0, "script_math_asciimath": 0, "math_annotations": 0, "math_alttext": 0, "mathml": 0, "mathjax_tag": 0, "mathjax_inline_tex": 20, "mathjax_display_tex": 0, "mathjax_asciimath": 0, "img_math": 0, "codecogs_latex": 0, "wp_latex": 0, "mimetex.cgi": 0, "/images/math/codecogs": 0, "mathtex.cgi": 0}, "config": {"markdown_headings": true, "markdown_code": true, "boilerplate_config": {"ratio_threshold": 0.18, "absolute_threshold": 10, "end_threshold": 15, "enable": true}, "remove_buttons": true, "remove_image_figures": true, "remove_link_clusters": true, "table_config": {"min_rows": 2, "min_cols": 3, "format": "github"}, "remove_chinese": true, "remove_edit_buttons": true, "extract_latex": true}, "english_confidence": 0.8690173029899597, "perplexity_flag": "head"}