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Lecture12 Convergence__new_annotated_Day4

The document discusses the convergence of sequences of random variables, defining various types such as point-wise, almost-sure, mean-square, convergence in probability, and convergence in distribution. It highlights the relationships between these types of convergence, including the implications of the strong and weak laws of large numbers. Additionally, it addresses the Cauchy criterion for convergence and provides examples and theorems related to these concepts.

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rajdeep.alapati
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2 views

Lecture12 Convergence__new_annotated_Day4

The document discusses the convergence of sequences of random variables, defining various types such as point-wise, almost-sure, mean-square, convergence in probability, and convergence in distribution. It highlights the relationships between these types of convergence, including the implications of the strong and weak laws of large numbers. Additionally, it addresses the Cauchy criterion for convergence and provides examples and theorems related to these concepts.

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?
Types of Convergence
• 1. Point-wise Convergence or Sure Convergence
• 2. Almost-Sure Convergence
• 3. Convergence in Probability
• 4. Convergence in Mean-Square
(more general : Convergence in r-th Mean)
• 5. Convergence in Distribution
Definition-0: Point-wise Convergence (Sure
Convergence)
Definition-1: Almost-Sure
Convergence
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.

SLLN:

Almost-Sure Convergence
Definition-2: Mean Square
Convergence
• Does it converge in mean square sense?
• Mean square convergence occurs if the second moment of the error
approaches zero as n approaches infinity.

• This implies that as n increases, an increasing proportion of sample


sequences are close to X

• however, it does not imply that all such sequences remain close to X
as in the case of almost-sure convergence. (proof later)
Definition 3: Convergence in r-th Mean

• We will show that


Definition-4: Convergence in
Probability
• Weak law of large numbers is an example of convergence in probability.
• Fundamental difference between almost-sure convergence and convergence in
probability is the same as that between the strong law and the weak law of large
numbers.
Theorem
• Mean square convergence implies convergence in probability

If the sequence converges in the mean square sense, then the right-hand side
approaches zero as n approaches infinity.
It then follows that the sequence also converges in probability
Definition-5 : Convergence in
Distribution

• The central limit theorem is an example of convergence in distribution


Ex:
Notations:
• It can be shown that almost-sure convergence implies convergence
in probability.
• However, almost-sure convergence does not always imply mean
square convergence
• Take an example..
Ex
Hierarchy of Convergence

• No other implications hold in general


Theorem 1:
Theorem

• We skip the proof, if interested see


Theorem
Proof by counter example

Check for--
• Convergence in probability?
• Convergence in m.s.?
Which diverges to infinity as n grows unbounded, Check for r >1

We can conclude
Theorem
• Check for a.s. convergence
Apply Borel–Cantelli Lemma 2
Theorem
Theorem

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