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Lecture12 Convergence_annotated_day1

The document discusses the convergence of sequences of random variables, defining convergence as the process where the difference between the sequence and a limit approaches zero as n increases. It introduces concepts like point-wise convergence and almost-sure convergence, noting that while sure convergence implies almost-sure convergence, the reverse is not true. The strong law of large numbers is cited as an example of almost-sure convergence.

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2 views

Lecture12 Convergence_annotated_day1

The document discusses the convergence of sequences of random variables, defining convergence as the process where the difference between the sequence and a limit approaches zero as n increases. It introduces concepts like point-wise convergence and almost-sure convergence, noting that while sure convergence implies almost-sure convergence, the reverse is not true. The strong law of large numbers is cited as an example of almost-sure convergence.

Uploaded by

rajdeep.alapati
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 PPTX, PDF, TXT or read online on Scribd
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CONVERGENCE OF SEQUENCES

OF RANDOM VARIABLES

Ref:
Book - Leon Garcia, Ch-7
What is convergence?
• We obtain a sequence of random variables by letting n
increase without bound,
• Sequence of random variables X is a function that
assigns a countably infinite number of real values to
each outcome from some sample space S
What is convergence?
• Intuitively, we say that the sequence of real numbers converges to the
real number x if the difference approaches zero as n approaches
infinity.

• Let us understand in detail..


Thus if a sequence converges, then for any we can
find an integer N so that the sequence remains
inside (2ε) corridor about x
• Q: If ε is small, we need large N or small N?
• Cauchy Criterion: Determines whether a sequence converges. By it,
Hint: we consider the absolute difference between the nth number in the
sequence and the limit.
Then obtain the value of N for convergence to satisfy.
• Q: Do all (or almost all) sample sequences converge ?
• Q: If so, do they all converge to the same values or to different
values?
1. Point-wise Convergence or Sure Convergence
2.
In almost-sure convergence some of the sample sequences may not converge, but
these must all belong to that are in a set that has probability zero.
Sure convergence implies almost-sure convergence (but not vice
versa).
The strong law of large numbers is an example of almost-sure
convergence.

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