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$\Theta\in\mathbb{R}^d$ is a compact set, $f(x,\theta):\mathbb{R}^p\times Y\in \mathbb{R}^+$ are continous functions in $\theta$ for every $x$. Let $X,X_1,\dots,X_n,\dots$ be i.i.d random vectors.

Then $\displaystyle E\left( \sup_{\theta\in \Theta}f(X,\theta)\right)<\infty\implies \lim_{n\rightarrow \infty}\left(\sup_{\theta\in \Theta}\left| \frac{1}{n}\sum_{i=1}^n f(X_i,\theta)-E(f(X,\theta)) \right|\right)=0$

I don't see an immediate way of doing this rather than working with the definition of limit. The idea is to show that there is $N$ such that $\sup_{\theta\in \Theta}\left| \frac{1}{n}\sum_{i=1}^n f(X_i,\theta)-E(f(X,\theta)) \right|<\epsilon$ for a given $\epsilon$.

I think the compactness of $\Theta$ might be used to argue that there is a $\theta_0$ for which $\sup_{\theta\in \Theta}f(X,\theta) = f(X,\theta_0)$. Then I would apply the same to the second equation $\left| \frac{1}{n}\sum_{i=1}^n f(X_i,\theta_0)-E(f(X,\theta_0)) \right|<\epsilon$.

But I find the $ \frac{1}{n}$ in $\displaystyle\frac{1}{n}\sum_{i=1}^n f(X_i,\theta_0)$ problematic because it will make the term smaller meanwhile $E(f(X,\theta_0))$ doesn't seem to decrease.

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    $\begingroup$ The $1/n$ does decrease the term, but the $\sum$ (mostly) increases the term, and the two do indeed wash out in the long run. Example: If the $X_i$ terms are $\{0, 1\}$ coin flips, then you add $n$ of them together and divide by $n$. You'd expect about half of the coin flips to be $1$, so the sum would be roughly $n/2$ and thus $\frac 1 n \sum X_i$ is roughly $1/2$. (I provide this only as a heuristic that the problem is reasonable.) $\endgroup$ – Aaron Montgomery Oct 12 '17 at 18:47
  • $\begingroup$ @kimchilover I think it should be part of the hypothesis. If it is true, then the last limit is true. $\endgroup$ – Cure Oct 16 '17 at 14:59
  • $\begingroup$ I did not notice that $f$ takes values in $\mathbb R^+$ only. $\endgroup$ – kimchi lover Oct 16 '17 at 17:55
  • $\begingroup$ @AaronMontgomery I don't see it. $E(f(x,\phi))=\int_{-\infty}^{+\infty}f(x,\theta)$ but I think for the purposes of this exercises we can consider $E(f(x,\phi)) = \sum_{i=1}^n x_i f(x_i,\theta)$. The problem is I do not know the $x_i$ values, and for all I know the all might be $1$ in which case the limit wouldn't be true. $\endgroup$ – Cure Oct 16 '17 at 18:50
  • $\begingroup$ Unless I'm misinterpreting something, having all the $x_i$ values be $1$ would just mean that your random variables were all $1$ with probability 1. In that case, $\frac 1 n \sum f(X_i, \theta) = \frac 1 n \sum f(1, \theta) = \frac 1 n n \cdot f(1, \theta) = f(1, \theta)$, and $E[f(X, \theta)] = E[f(1, \theta)] = f(1, \theta)$. $\endgroup$ – Aaron Montgomery Oct 16 '17 at 20:19
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This is an immediate consequence of the SLLN for separable Banach spaces (see here for the first publication and here for a dumbed down statement), in particular, for $S=C(\Theta),$ the space of continuous real-valued functions on $\Theta$, with the topology induced by the sup norm $\|h\| = \sup_{\theta\in\Theta}|h(\theta)|$. Let $Y\in S$ be the function $\theta\mapsto f(X,\theta)$; you need to check that this defines $Y$ as a random element of $C(\Theta)$, and similarly for $Y_i:\theta\mapsto f(X_i,\theta)$. Then you need to check that $E\|Y\| = E\sup_{\theta\in\Theta}|f(X,\theta)| \lt \infty$. Let $m=EY:\theta\mapsto E(X,\theta)$. Then the desired result follows directly from the SLLN: $\overline Y_n \to m$ almost surely, which is to say, $\|\overline Y_n-m\|\to0$ almost surely.

The $S=C(\Theta)$ SLLN is easy to prove, in principle. Here is a sketch of one line of argument. Let $Y$ be a random vector in $S$, with distribution $\mu$, for which $\int _S\|Y\|\mu(dY)<\infty$. Let $m=EY$. Define another measure on $S$ by $\nu(A)=\int_A\|Y\|\mu(dY).$ Note that $\nu$ is finite, and hence for any given real $\epsilon>0$ there exists a compact $K\subset S$ such that $\nu(A^c)<\epsilon$. Cover $K$ with open $\epsilon$-balls, extract a finite sub-cover, and let $T(\epsilon)$ denote the centers of the balls in the finite sub-cover. Now define the random vector $T_i$ to be a closest element of $T(\epsilon)$ if $Y_i\in K$, and $0$ otherwise. Note that $E\|Y_i - T_i\| <\epsilon$, observe that the $T_i$ obey the finite dimensional SLLN and so $\overline T_n\to ET_1$ a.s. But $\|ET_1 -m \|<\epsilon$, so we have $\|\overline Y_n - m\|<2\epsilon$ for all $n$ sufficiently large. Since $\epsilon>0$ was arbitrary we are done. In particular, let $G(\epsilon)$ be the event that $\|\overline Y_n - m\|<2\epsilon$ holds for all $n$ sufficiently large. We have just seen that $P(G(\epsilon))=1$ for $\epsilon>0$, so $G = \bigcap_{k>0}G(1/k)$ also has probability $1$. But conditional on $G$, we have $\overline Y_n \to m.$

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  • $\begingroup$ Brick Farm Market? :) $\endgroup$ – Cure Oct 16 '17 at 23:08
  • $\begingroup$ Whoops! Fixed now. $\endgroup$ – kimchi lover Oct 16 '17 at 23:12
  • $\begingroup$ (1) What is $C(\Theta)$? (2) Isn't $E||Y|| < \infty$ already considered in the problem? I don't see exactly how SLLN is appplied, could you be a little more explicit in the last part ("then the desired result follows directly..."). Thank you. $\endgroup$ – Cure Oct 16 '17 at 23:18
  • $\begingroup$ You are right: checking (2) is a triviality: if $f$ is nonnegative, and if $\sup f$ is nice, then of course $\sup|f|$ is also nice, because they are the same thing. $\endgroup$ – kimchi lover Oct 16 '17 at 23:51
  • $\begingroup$ I have edited my post in response to your comments. $\endgroup$ – kimchi lover Oct 17 '17 at 13:22

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