Here, the $X_n$'s and $X$ do not need to share any probability space. We are only concerned with their CDFs: $F_n$ and $F$.
We say $X_n \to X$ in distribution, if $\forall x ~:~ F_n(x) \to_{n\to \infty} F(x)$
If $X_n \to \text{ constant }C$, if and only if $\displaystyle \left\{\begin{array}{lrr}F_n(x) \to 0 & for & x<C\\F_n(x) \to 1 & for & x > C\end{array}\right.$
We say $\displaystyle X_n \to^{\text{in }L^p}_{n\to \infty}\to X$ if $\mathbf{E}[|X_n - X|^p] \to 0$
Which convergences are weaker, which ones are stronger?
Using Chebyshev's inequality, we can prove that $(d) \text{ implies }\Rightarrow (b)$
also not hard to see $(a) \Rightarrow (b) \Rightarrow (c)$
In general, $(a)$ and $(d)$ are not comparable.
However, under additional assumptions, we can compare them. For example:
There are also classes of sequences where almost surely .............
$(c) \Rightarrow (b)$ when $X=constant$
Therefore, when the limit is constant, $(b)$ and $(c)$ are equivalent.
Let $X_n=\text{# successes in }n\text{ Bernoulli trials}$ with success probability $\displaystyle p=\frac{\lambda}{n}$.
Therefore, $\displaystyle X_n\sim Binom(n, \frac{\lambda}{n})$
Therefore, $\displaystyle M_{X_n}(t) = \left(1 - p +pe^t\right)^n = \left(1 + \frac{\lambda}{n} (e^t-1)\right)^n$
Then, use th efollowing fact: $\displaystyle \lim_{n\to \infty} (1 + \frac{x}{n})^n = e^x$
Therefore, with $x = \lambda (e^t-1)$ we get $\displaystyle M_{X_n}(t) \to_{n\to \infty}\to e^\lambda(e^t - 1)$
We recognize that this is MGF of $Poisson(\lambda)$ distribution.
Let $X_1, X_2, ..X_n$ be random variables with equal mean $\mu$ and variance $\sigma^2$, and $0$ covariance.
Let $\bar{X_n} = \frac{X_1 + X_2 + ... + X_n}{n}$
Then, $\bar{X_n} \to_{n\to \infty} \mu$ in probability.
Proof: we proved this before using Chebyshev's inequality.
Let $U_i\sim Unif(0,1)$ and iid.
Let $M_n = \max(U_i :~ i=1,2,..,n)$
We know that $Un\to 1$ in probability.
So that mean $1 - M_n \to 0$
Let $Y_n = (1-M_n) \times n$
We compute
$$F_{Y_n}(x) = 1 - F_n(1 - \frac{y}{n})^n = 1 - (1-\frac{y}{n})^n = 1 - e^y \Longrightarrow \text{CDF of }Exp(\lambda=1)$$
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