Convergence in law and of characteristic function

244 Views Asked by At

From Levy's continuity theorem it is known that pointwise convergence of characteristic functions is equivalent to the convergence in law of corresponding random variable. However, I have to show that if $X_n \sim\mathrm{Unif} [-n,n]$, then the characteristic functions of the sequence converge pointwise, but $(X_n)_{n \in \mathbb{N}}$ does not converge in law.

I have calculated the characteristic function which is $\frac{\sin(tn)}{tn}$ and which converges to 0. Still I do not know yet how to show, that the sequence of r.v. does not converge in law and more important, why this example does not contradict the stated theorem ?