Uniformly converging random variables for weakly converging laws

 Let {P _n , n ?ℕ} be a sequence of Borel probability measures on a compact and connected metric space X. We show that in case the measures P _n converge weakly to a fully supported limit measure P, there exist uniformly converging random variables X _n , n ?ℕ with these given laws. Connectivity and compactness are necessary conditions for our theorem to hold. We also present a decent generalization. We prove our theorem by means of a comparison of the Prokhorov and the so-called minimal L ^∞ metric. Then we only need to use the Strassen-Dudley theorem and Kellerer's measure extension theorem for decomposable families. Received: 2 November 2000 / Revised version: 5 January 2002/ Published online: 1 July 2002