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4.4 Strong Law of Large Numbers: Identically Distributed

The document discusses the strong law of large numbers (SLLN) and provides three theorems that can be used to determine if a sequence satisfies the SLLN. Theorem 1 deals with independent but not identically distributed random variables. Theorem 2 states that a sequence of independent and identically distributed random variables satisfies the SLLN if the expected value exists. Theorem 3 applies to sequences of Bernoulli trials with a constant probability of success. Several examples are provided that use the theorems to check if specific sequences satisfy the SLLN.

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Mohan Rao
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90 views5 pages

4.4 Strong Law of Large Numbers: Identically Distributed

The document discusses the strong law of large numbers (SLLN) and provides three theorems that can be used to determine if a sequence satisfies the SLLN. Theorem 1 deals with independent but not identically distributed random variables. Theorem 2 states that a sequence of independent and identically distributed random variables satisfies the SLLN if the expected value exists. Theorem 3 applies to sequences of Bernoulli trials with a constant probability of success. Several examples are provided that use the theorems to check if specific sequences satisfy the SLLN.

Uploaded by

Mohan Rao
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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4.

4
Strong Law of Large Numbers
Definition: A sequence of r.vs is said to satisfy the strong law of large
numbers (SLLN) if

as

We state the following theorems without proof which are useful in checking
whether a given sequence satisfies SLLN or not.

Theorem1: (Kolmogorov’s SLLN)

This theorem is helpful when the r.vs in the sequence are independent but not
identically distributed.

Statement: Let be a sequence of independent r.vs with and


 k2
for . If  k2
  , then the SLLN holds for the
k 1
sequence .

Theorem 2:

This theorem is helpful when the r.vs in the sequence are independent and
identically distributed (i.i.d).

Statement: The sequence of i.i.d.r.vs holds SLLN iff exists.

Theorem 3: (Borel’s SLLN):

This theorem is helpful when the sequence consists of Bernoulli trials.

Statement: For a sequence of Bernoulli trials with constant probability of


success, the SLLN holds.
Example 1: Let be a sequence of independent random variables with p.m.f.
given by

Does the SLLN hold for ?

Solution: We have and

  n2  1  1
Further, 
n1 n
2

n1 n
2
converges ( 
n1 n
p converges if ).

Hence, the SLLN holds for .

Example 2: For what value of does the SLLN hold for the sequence

Solution: We have and

 k2 k 2  1
Further, 
k 1
 
k 2 k 1 k 2 k 1 k 22
converges if

 1
( 
k 1 k
p
converges if ).

Thus, SLLN holds if .


Example 3: Let be a sequence of independent r.vs with p.m.f. given by

Check whether SLLN holds for or not.

Solution: We have and

 
 n2  1
Further, 
n1
 
1
n 2 n1 n 4
converges (
k 1 k

p converges if ).

Therefore, obeys SLLN.

Example 4: Let be a sequence of independent r.vs with p.m.f. given by

Check whether SLLN holds or not.

Solution: Here and

 k2  1  1
Further 
k 1 k
2
  22 k
k 1

k 2 k 1 k 2 22 k
converges. Therefore, obeys the SLLN.
Example 5: Let be i.i.d.r.vs with mean and variance and as ,

for some constant , then find .

Solution: Here and .

Let . Then

By Theorem 2,

, where .

Example 6: If the i.i.d.r.vs assume the value with probability for


, examine if the SLLN holds for the sequence .

Solution: By Theorem 2, SLLN holds for i.i.d.r.vs if exists .

Here we have to verify whether is finite or not.

We have
which converges.

Thus, is finite and hence the SLLN holds for .

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