Talk:Prokhorov's theorem
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Correct theorem statement ?
[edit]The first statement of the theorem seems to be wrong. I recall that for a general metric space (even separable), tightness of a family of measures implies pre-compactness in , but not the other way round (although I don't have an example at hand). Also, since is metrizable, the concepts of sequential compactness and compactness are the same in .
Compare with the Theorem 14.3 in Kallenberg's "Foundations of Modern Probability": For any sequence of random elements in a metric space , tightness implies relative compactness in distribution, and the two conditions are equivalent when is separable and complete. — Preceding unsigned comment added by 79.180.115.167 (talk) 08:46, 28 April 2014 (UTC)