A Note on a Limit Theorem for Differentiable Mappings

Abstract

The main purpose of this paper is to draw attention to a simple and useful general "continuity theorem" type result, from which a great deal of limit theorems follow as almost immediate consequences. As an example, we give a new very short and transparent proof of the recent result by H. Teicher and C. Hagwood (A multidimensional CLT for maxima of normed sums); in fact, a much more general assertion is proved here. Another application of the main result establishes a correspondence between the convergence of empirical and quantile processes. (A similar result holds for the renewal and partial sums processes.)