Question: Consider a sequence {Pn, Qn} with likelihood ratio Ln defined in (14.36). Assume L(Ln|Pn) d W, where P{W = 0} = 0; show Pn

Consider a sequence {Pn, Qn} with likelihood ratio Ln defined in

(14.36). Assume L(Ln|Pn) d

→ W, where P{W = 0} = 0; show Pn is contiguous to Qn. Also, under (14.41), deduce that Pn is contiguous to Qn and hence Pn and Qn are mutually contiguous if and only if μ = −σ2/2.

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