Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

Suppose $X_{1},X_{2},\ldots$ be i.i.d. random variables such that $E\left[X_{i}\right]=\mu$ and $Var(X_{i})=\sigma^{2}<\infty$. Let $\bar{X}=\left(X_{1}+\cdots+X_{n}\right)/n$. Show that $\frac{1}{n}\overset{n}{\underset{i=1}{\sum}}\left(X_{i}-\bar{X}\right)^{2}\rightarrow\sigma^{2}$ a.s.

Solution: Let $S_{n}=\frac{1}{n}\overset{n}{\underset{i=1}{\sum}}\left(X_{i}-\bar{X}\right)^{2}$. By Chebyshev's Inequality, $\sum_{n=1}^{\infty}P\left(\left|S_{n}-E\left[S_{n}\right]\right|>\varepsilon\right)\leq\sum_{n=1}^{\infty}\frac{Var(S_{n})}{\varepsilon^{2}}$. And we know that $E\left[S_{n}\right]\rightarrow\sigma^{2}$, so I would like to finish this proof by using first Borel-Cantelli Lemma if I can show the right hand side is summable. However, $Var(S_{n})=\frac{2\sigma^{4}}{n-1}$, so the sum is infinity, which means it doesn't converge almost surely. Where am I wrong?

share|improve this question

1 Answer 1

up vote 4 down vote accepted

Since you used an inequality to obtain an estimate of $\mathbb{P}(|S_n-\mathbb{E}S_n|>\varepsilon)$ the fact that the sum does not converge does not imply that $S_n$ does not converge almost surely.

It's easier like that:

$$\begin{align} (X_i-\mu+(\mu-\bar{X}))^2 &= (X_i-\mu)^2 + 2 (X_i-\mu) \cdot (\mu-\bar{X})+(\mu-\bar{X})^2 \\ \Rightarrow S_n= \frac{1}{n} \sum_{i=1}^n (X_i-\bar{X})^2 &= \frac{1}{n} \sum_{i=1}^n (X_i-\mu)^2 + 2 (\mu-\bar{X}) \underbrace{\frac{1}{n} \cdot \sum_{i=1}^n (X_i-\mu)}_{\left(\frac{1}{n} \sum_{i=1}^n X_i\right)-\mu =(\bar{X}-\mu)} + (\mu-\bar{X})^2 \\ &= \frac{1}{n} \sum_{i=1}^n (X_i-\mu)^2 - (\bar{X}-\mu)^2 \end{align}$$

By the strong law of large numbers we obtain

$$\bar{X} = \frac{1}{n} \sum_{i=1}^n X_i \to \mu \quad \text{almost surely} \\ \frac{1}{n} \sum_{i=1}^n (X_i-\mu)^2 \to \mathbb{E} \left( (X_i-\mu)^2 \right)=\sigma^2 \quad \text{almost surely} $$

Hence $S_n \to \sigma^2$ almost surely.

share|improve this answer
    
But the $\mu$ can be infinity, I think you cannot apply strong law of large numbers. And you haven't used the condition that the variance is finite. –  65900931 Nov 23 '12 at 20:28
    
Of course I used that $\sigma^2<\infty$ - otherwise I could not apply the Strong Law Of Large Numbers. (And $\mu$ is finite since $\sigma^2$ is finite. $X \in L^2$ implies $X \in L^1$...) –  saz Nov 23 '12 at 20:41
    
That makes sense. Thank you! –  65900931 Nov 23 '12 at 20:51

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.