Convergence in measure is either of two distinct mathematical concepts both of which generalize the concept of convergence in probability.
Let be measurable functions on a measure space The sequence is said to converge globally in measure to if for every
On a finite measure space, both notions are equivalent. Otherwise, convergence in measure can refer to either global convergence in measure or local convergence in measure, depending on the author.
Throughout, f and fn (n N) are measurable functions X → R.
Let μ be Lebesgue measure, and f the constant function with value zero.
There is a topology, called the topology of (local) convergence in measure, on the collection of measurable functions from X such that local convergence in measure corresponds to convergence on that topology. This topology is defined by the family of pseudometrics
Because this topology is generated by a family of pseudometrics, it is uniformizable. Working with uniform structures instead of topologies allows us to formulate uniform properties such as Cauchyness.