The order in probability notation is used in probability theory and statistical theory in direct parallel to the big O notation that is standard in mathematics. Where the big O notation deals with the convergence of sequences or sets of ordinary numbers, the order in probability notation deals with convergence of sets of random variables, where convergence is in the sense of convergence in probability.

Definitions

Small o: convergence in probability

For a set of random variables Xn and corresponding set of constants an (both indexed by n, which need not be discrete), the notation

means that the set of values Xn/an converges to zero in probability as n approaches an appropriate limit. Equivalently, Xn = op(an) can be written as Xn/an=op(1), i.e.

for every positive ε.

Big O: stochastic boundedness

The notation

means that the set of values Xn/an is stochastically bounded. That is, for any ε > 0, there exists a finite M > 0 and a finite N > 0 such that

Comparison of the two definitions

The difference between the definitions is subtle. If one uses the definition of the limit, one gets:

. In a sense, this means that the sequence must be bounded, with a bound that gets smaller as the sample size increases.

, i.e. convergence in probability implies stochastic boundedness. But the reverse does not hold.

Chebyshev lemma for stochastic order

converges to zero in probability by Chebyshev's inequality, so

References