Let fXng be a sequence of random variable dened on a probability space ( ; F; P). In this paper, we studied about the relationship between the convergence almost surely, convergence in probability, and convergence in distribution. If the sequenceof random variable convergence almost surely to a random variable X then fXng convergence in probability to X. If the sequence of random variable fXng convergence in probability to a random variable X then fXng convergence in distribution to X.
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