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Weak Law of Large Numbers and CLT

The document discusses the Weak Law of Large Numbers (WLLN), which states that a sequence of random variables converges in probability to a constant if certain conditions are met, including the existence of expectations and variances. It also introduces the Strong Law of Large Numbers (SLLN) and the Central Limit Theorem (CLT), which describe the behavior of averages of random variables as the number of variables increases. Additionally, it mentions De-Moivre's-Laplace Theorem as a specific case of the CLT, indicating that certain distributions become asymptotically normal.

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39 views9 pages

Weak Law of Large Numbers and CLT

The document discusses the Weak Law of Large Numbers (WLLN), which states that a sequence of random variables converges in probability to a constant if certain conditions are met, including the existence of expectations and variances. It also introduces the Strong Law of Large Numbers (SLLN) and the Central Limit Theorem (CLT), which describe the behavior of averages of random variables as the number of variables increases. Additionally, it mentions De-Moivre's-Laplace Theorem as a specific case of the CLT, indicating that certain distributions become asymptotically normal.

Uploaded by

sixokic135
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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Weak Law of Large Numbers

Convergence in Probability

A sequence of random variables X1, X2, …….., Xn is said to converge in

probability to a constant “a”, if for any 𝜖 > 0,

lim 𝑃{ 𝑋𝑛 − 𝑎 < 𝜖} =1
𝑛→∞

or

lim 𝑃{ 𝑋𝑛 − 𝑎 > 𝜖} =0
𝑛→∞
Weak Law of Large Numbers
Let X1, X2, …….., Xn be a sequence of random variables and 𝜇1, 𝜇 2, …….., 𝜇n be their
respective expectations and let

Bn = Var(X1+X2 …….. +Xn)< ∞

then the probability

X1+X2 …….. +Xn 𝜇1+𝜇2 …….. +𝜇n


𝑃{ − < 𝜖} ≥ 1 − η
𝑛 𝑛
for all n>n0 where 𝜖 and η are arbitrary small positive numbers, provided
𝐵𝑛
lim =0
𝑛→∞ 𝑛2
Interpretation of WLLN
"With the probability approaching unity or certainty as near as we please,
we may expect that the arithmetic mean of values actually assumed by n
random variables will differ from the arithmetic mean of their expectations
by less than any given number, however small, provided the number of
variables can be taken sufficiently large and provided the condition
𝐵𝑛
lim 2 =0
𝑛→∞ 𝑛

is fulfilled".
Weak Law of Large Numbers

Weak law of large numbers can also be stated as follows:


𝑋ത𝑛 → 𝜇ҧ 𝑛

𝐵𝑛
provided → ∞ as 𝑛 → ∞ symbols having their usual meanings.
𝑛2
Conditions for the Existence of WLLN

Following conditions must be satisfied for the existence of WLLN :

(i) E(Xi) exists for all i

(ii) Bn = Var(X1+X2 …….. +Xn) exist

𝐵𝑛
(iii) → 0 as 𝑛 → ∞
𝑛2
Strong Law of Large Numbers(SLLN)

Let X1, X2, ..., Xn be a sequence of i.i.d. random variables, each with

mean E(Xi) = µ and standard deviation σ then,

P( lim 𝑋ത𝑛 = 𝜇) = 1
𝑛→∞
The Central Limit Theorem (CLT)
Let X1,X2,...,Xn be i.i.d. random variables with expected value E(Xi)=μ<∞ and variance
0<Var(Xi)=σ2<∞. Then, the random variable

𝑋ത𝑛−𝜇 X1+X2+...+Xn − nμ
Zn = =
𝜎/ 𝑛 𝜎 𝑛

converges in distribution to the standard normal random variable as n goes to infinity, that is

lim 𝑃(𝑍𝑛 ≤ 𝑥) = Φ(x), for all x∈R,


𝑛→∞

where Φ(x) is the cumulative distribution function the Standard Normal distribution.
De-Moivre's-Laplace Theorem.
A particular case of central limit theorem is De-Moivre’s theorem which is
stated as follows:
“If

1, with probability p
𝑋𝑖 = ቊ
0, with probability 𝑞

then the distribution of the random variable S=Xl + X2 + ... + Xn , where Xi’s
are independent, is asymptotically Normal as 𝑛 → ∞”.

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