Skorokhod's representation theorem

In mathematics and statistics, Skorokhod's representation theorem is a result that shows that a weakly
convergent sequence of probability measures whose limit measure is sufficiently well-behaved can be
represented as the distribution/law of a pointwise convergent sequence of random variables defined on a
common probability space. It is named for the Soviet mathematician A. V. Skorokhod.

Statement
Let be a sequence of probability measures on a metric space such that converges weakly to
some probability measure on as . Suppose also that the support of is separable. Then
there exist -valued random variables defined on a common probability space such that the
law of is for all (including ) and such that converges to , -almost surely.

See also
Convergence in distribution

References
Billingsley, Patrick (1999). Convergence of Probability Measures (https://archive.org/details/
convergenceofpro0000bill). New York: John Wiley & Sons, Inc. ISBN 0-471-19745-9. (see
p. 7 for weak convergence, p. 24 for convergence in distribution and p. 70 for Skorokhod's
theorem)

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