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Sep 23 at 11:32 vote accept Andrew Luo
Sep 22 at 11:43 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 11:39 comment added Iosif Pinelis @AndrewLuo : See the two additions to the answer. The second one of them shows that no real-valued measurable function $\varphi$ will guarantee that your set of measures be compact wrt to the TV metric.
Sep 22 at 11:35 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 11:29 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 11:20 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 11:14 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 11:08 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 10:56 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 10:49 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 10:30 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 10:23 history edited Iosif Pinelis CC BY-SA 4.0
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Sep 22 at 10:06 comment added Michael Greinecker @AndrewLuo The same counterexample works if you take $\phi$ to be the bounded continuous function given by $\phi(x)=\max\{0,1-d(x,[0,1])\}$
Sep 22 at 9:03 comment added Andrew Luo Thank you for the counterexample. I am thinking that maybe I could change the class of test functions, and take $\varphi$ to be continuous bounded measurable.
Sep 22 at 1:49 history answered Iosif Pinelis CC BY-SA 4.0