Professional Documents
Culture Documents
1516Convergence2H PDF
1516Convergence2H PDF
6
O.H. Probability II (MATH 2647) M15
Proof of Theorem 2.6. Follows immediately from Theorem 2.3 and Lemma 2.8.
in other words, for every fixed ε > 0, a point X = (X1 , . . . , Xn ) chosen uniformly
at random in (−1, 1)n satisfies
1 X 1
n
P (Xj )2 − ≥ ε ≡ P X 6∈ An,ε → 0 as n → ∞ ,
n j=1 3
n
p one, a random point X ∈ (−1, 1)
ie., for large n, with probability approaching
is near the n-dimensional sphere of radius n/3 centred at the origin.
Z Theorem 2.10. Let random variables Sn , n ≥ 1, have two finite moments,
µn ≡ ESn , σn2 ≡ Var(Sn ) < ∞. If, for some sequence bn , we have σn /bn → 0 as
n → ∞, then (Sn − µn )/bn → 0 as n → ∞, both in L2 and in probability.
Proof. The result follows immediately from the observation
(S − µ )2 Var(Sn )
n n
E = →0 as n → ∞ .
b2n b2n
Tn − ETn Tn
→0 ie., →1
n log n n log n
7
O.H. Probability II (MATH 2647) M15
For n ≥ 1 put m = [log2 n], ie., m ≥ 0 is such that 2m ≤ n < 2m+1 , define
h n − 2m n + 1 − 2m i
An = , ⊆ 0, 1
2m 2m
and let Xn = 1An . Since P 1An > 0 = P(An ) = 2−[log2 n] < n2 → 0 as
def
8
O.H. Probability II (MATH 2647) M15
Z Theorem 2.16 (L4 -SLLN). Let the variables X1 , X2 , . . . be i.i.d. with E(Xk ) =
def
µ and E (Xk )4 < ∞. If Sn = X1 + X2 + · · · + Xn , then Sn /n → µ almost
surely, as n → ∞.
Proof. We may and shall suppose13 that µ = E(Xk ) = 0. Now,
X
n 4 X X
4
E (Sn ) =E Xk = E (Xk )4 + 6 E (Xk )2 (Xm )2
k=1 k 1≤k<m≤n
so that E (Sn )4 ≤ Cn2 for some C ∈ (0, ∞). By Chebyshev’s inequality,
E (Sn )4 C
P |Sn | > nε ≤ ≤
(nε)4 n2 ε4
9
O.H. Probability II (MATH 2647) M15
With some additional work,14 one can obtain the following SLLN (which is
due to Kolmogorov):
b Theorem 2.17 (L1 -SLLN). Let X1 , X2 , . . . be i.i.d. r.v. with E|Xk | < ∞. If
def 1
E(Xk ) = µ and Sn = X1 + · · · + Xn , then n Sn → µ almost surely, as n → ∞.
Notice that verifying almost sure convergence through the Borel-Cantelli
lemma (or the sufficient condition (2.6)) is easier than using an explicit con-
struction in the spirit of Example 1.5. We shall see more examples below.
0, ω > 1/n .
a.s. P
We obviously have Xn → 0 and Xn → 0 as n → ∞; however, for every r > 0
r
enr L
E|Xn |r = n
→ ∞ as n → ∞, ie., Xn →
6 0. Notice that this example also shows that
a.s. Lr
Xn → X 6⇒ Xn → X.
10