Questions tagged [law-of-large-numbers]
For questions about the law of large numbers, a classical limit theorem in probability about the asymptotic behavior (in almost sure or in probability) of the average of random variables. To be used with the tags (tag:probability-theory) and (tag: limit-theorems).
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1answer
14 views
Let $X_n$ be a uniform distribution on $(-1,1)$. Let$ Y_n$ ~ Cauchy(0,1). Everything independent.
Let $X_n$ be a uniform distribution on $(-1,1)$. Let$ Y_n$ ~ Cauchy(0,1). Everything independent.
Let $Z_n$ = $X_n$ + $Y_n$
I want to study the law convergence of the sample mean of $Z_n$. That is:
...
0
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1answer
31 views
How do I find the numbers of large population? Statistics
I have a vector
$$[10000, 1000, 800, 700, 500, 100, 12, 12, 12, 11, 8 , 7,6,4,3,1,0]$$
And I want to find out how many large numbers there are in my vector, which I call my population.
In this case,...
0
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1answer
55 views
Strong law of large numbers for Poisson rvs with different parameter
Let $X_n$ be independent Poisson random variables with $E[X_i] = \mu_i$, and let $Y_n = X_1+...+X_n$. I want to show that if $\sum_n \mu_n = \infty $ then $Y_n/E[Y_n] \rightarrow 1$ almost surly.
What ...
0
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1answer
50 views
Strong Law of Large Numbers imply Weak Law [closed]
If the Strong Law of Large Numbers imply the Weak Law, why do we have a Weak Law of Large Numbers?
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2answers
31 views
Covariance and Law of Large numbers
Say I am taking the average value of the product of two dependent random variables $X$ and $Y$ sampled an infinite amont of times. That is I am computing $\lim_{n \rightarrow \infty} E \left[ \sum_{i=...
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1answer
30 views
Problem on Weak Law of Large Numbers
Question-
$X_n$ can take only two values $n^a$ and $-n^a$ with equal probabilities. Show that we can apply weak law of large numbers to the sequence of independent random vatiables ${X_n}$ if $a<\...
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1answer
33 views
Suppose $X_n$ are iid with a symmetric distribution. Then $\Sigma_n \frac{X_n}{n}<\infty ~\mathrm{a.s. iff }~\mathbb{E}|X_1|<\infty$
It seems to be solved by using Kolmogorov strong law of large numbers. Why $X_n$ have symmetric distribution?
2
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0answers
50 views
What is the difference between ergodicity and the law of large numbers?
I want to begin by saying that I know absolutely no measure theory.
To my knowledge, roughly speaking a stochastic process is ergodic if its time average converges to the expectation (space average) ...
1
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0answers
22 views
Weak law of large numbers for reciprocal of normal
In two different journal articles:
The First Negative Moment of Skew-t and Generalized Student's t-Distributions in the Principal Value Sense
and
The first negative moment in the sense of the ...
2
votes
2answers
42 views
LLN when $E X = \infty$
Does there exist a random variable $X$ with $\mathbb{E}X = \infty$ and some constants $a_n \to \infty$ such that if $X_1, X_2, \ldots$ are iid $\sim X$, then
$$\lim_{n \to \infty} \frac{X_1 + X_2 + \...
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0answers
9 views
$X_i = i^{\delta}Z_i$, find the range of $\delta$ for which the law of large numbers and the central limit theorem are valid
$Z_1,Z_2,...$ are i.i.d., their expected value is zero, their variance $\sigma^2$, and $E[|Z_i^2|] = m_3 < \infty$. $X_i = i^{\delta}Z_i$, find the range of $\delta$ for which the law of large ...
1
vote
1answer
32 views
Question about book solution to estimate $E[e^{XY}]$ when $X$ and $Y$ are independent exponential RVs with $\lambda = 1$
Let $X$ and $Y$ be independent exponential random variables with mean 1. (a) Explain how we could use simulation to estimate $E[e^{XY}]$. (b) Show how to improve the estimation approach in part (a) by ...
1
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1answer
35 views
Strong law of Large numbers (SLLN4)
I'm trying to prove SLLN(4):
Let $\{X_n : n\geq1\}$ be a sequence of $L^1-$integrable independent random variables on a probability space and $S_n = \sum_{j=1}^nX_{j}$ for every $n\geq1$. Let $\phi :...
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0answers
23 views
Using strong law of large numbers to construct a measure
How can I apply the strong law of large numbers to construct a measure $\{\mu_p\}$ on $([0,1],\mathcal{B}([0,1]))$ such that ${\mu_p}$'s are singular to $\lambda_{Leb}$ and the distribution function ...
2
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0answers
66 views
A family of continuous distribution functions with a singular law to the Lebesgue measure
Given a probability space $(\Omega, \mathcal{F}, \mathbb{P})$, let $\{X_n: n \ge 1\}$ be a sequence of i.i.d random variables with the common distribution
$$\mathbb{P}(X_1 = 1) = p \text{ and } \...
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2answers
23 views
Does the law of large numbers hold for a large number of different trials?
The Law of Large numbers states that when a large number of repeated trials have been completed, the average of the obtained results will be close to the expected value.
However, consider a large ...
1
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1answer
28 views
Application of Central Limit Theorem to Sales
Consider the following problem and solution. (I am stuck at the modified problem.)
Problem
There are exactly two phone shops, $A$ and $B$, serving a town of 1000 people. Both shops sell an iPhoneX ...
0
votes
1answer
24 views
Application of Strong Law of Large Numbers
I have troubles with the following problem. Can you help me, please?
Suppose $\lambda_1 = 2$ and $\lambda_2 = \frac{1}{3}$ and $\lambda_1$, $\lambda_2$ are chosen independently with probability $1/2$ ...
1
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0answers
19 views
Law of iterated logarithm for stationary sequences
Let $(X_i)_{i\in\mathbb Z}$ be a sequence of random variables which is stationary and ergodic, but not necessarily i.i.d. Does there exist a real function $f$ such that the following holds?
$$ \...
2
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0answers
28 views
Variants of weak and strong LLN
Given a probability space $(\Omega,
\mathcal{F}, \mathbb{P})$, let $\{X_n: n\ge 1\}$ be sequence of square integrable
random variables, i.e., $X_n \in L^2(\Omega,
\mathcal{F}, \mathbb{P})$ for each $...
1
vote
1answer
18 views
Example of a sequence of random variables which are pairwise uncorrelated and identically distributed, but LLN does not hold
Let $X_n$ be a sequence of identically distributed random variables such that $X_n$'s are pairwise uncorrelated and $\mathbb{E}(|X_1|)<\infty$.
Then, is it necessary that $\frac{X_1+...+X_n}{n} \...
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1answer
39 views
Weak LLN holds but strong LLN fails
Show there exist independent random variables $\{X_n\}$ with $X_n\in\{-n, n, 0\}$, $\mathbb{E}(X_n)=0$, and $Y_n=\tfrac{1}{n}\sum_{k=1}^nX_k$ for all $n$, $\mathbb{P}(|Y_n|\ge\epsilon)\to 0$ for all $\...
3
votes
2answers
72 views
Pove that the summation of iid sequence satisfies $\frac{S_n}{n\log n}\rightarrow c\quad \text{in probability}$
Suppose that $X_1,X_2,\cdots,X_n$ are iid sequence with pdf $\frac{2}{\pi (1+x^2)}\cdot 1_{(0,+\infty)}(x)$. Denote $S_n$ as $S_n:=X_1+X_2+\cdots+X_n$. Prove that there exits $c>0$ such that $$\...
4
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1answer
123 views
Law of large numbers and theoretical probability
I didn't exactly know how to phrase the title of this question so a little more information..
I was conducting a small experiment with a class of secondary-school students to demonstrate the law of ...
0
votes
1answer
27 views
Expectation of the mean of the sum of random variables [closed]
If $X_i$'s are independent and identified random variables, each with mean $\mu$ and variance $\sigma^2$. Let's say $S_m = \frac{1}{m} \sum_{i=1}^m X_i,~~ m = 1,2,\ldots,M.$ What are the values of $\...
3
votes
2answers
66 views
With $X \sim Unif(0,1)$ what is the limit of $\frac{n}{x_1^{-1} + \cdots + x_n^{-1}}$
I am confused as to how I can tackle this question:
With $X \sim Unif(0,1)$ what is the limit of $\frac{n}{x_1^{-1} + \cdots + x_n^{-1}}$.
My assumption is that is $0$. but I would like to show that ...
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0answers
53 views
If $\lim_{n \rightarrow \infty} \frac{S_n^4}{n^4} = 0$ then $\lim_{n \rightarrow \infty} \frac{S_n}{n} = 0$
If $\lim_{n \rightarrow \infty} \frac{S_n^4}{n^4} = 0$ then $\lim_{n \rightarrow \infty} \frac{S_n}{n} = 0$ where $S_n$ is the sum of $n$ iid RVs with mean zero.
My question
I'm having trouble ...
0
votes
2answers
73 views
Central Limit Theorem for geometric mean
Suppose that $X_1,X_2,...$ be i.i.d. variable uniformly distributed on (0,1), and let $\tilde{X_n}$ denote the geometric average of $n$ of these variables, i.e.: $\tilde{X_n}=(X_1X_2\cdots X_n)^{1/n}$....
0
votes
1answer
28 views
Almsot surely convergence of series
(a) Suppose that $X_1,X_2,...$ be independent with $P(X_n=n-1)=\frac{1}{n}$, $P(X_n=-1)=1-\frac{1}{n}$. Show that there are no constants ${\mu_n}$ such that $\frac{s_n}{n}-\mu_n \rightarrow 0$ a.s.
(...
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0answers
25 views
Question about convergence of a series - need help understanding a proof for the strong law of large numbers
My question:
In the proof below for the strong LLNs, I don't know how the author goes from the $\color{red}{\text{red box}}$ to the $\color{blue}{\text{blue box}}$ (see screenshot below)
Getting to ...
1
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1answer
41 views
Question about the strong law of large numbers (to build understanding)
I'm learning about the LLN and CLT for the first time and I'm having some trouble. I've read through other posts but I have a quirky (likely dumb) question about denominators...
The Strong LLN ...
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0answers
69 views
A Problem on the Limit of an Integral
While I investigate the property of positive random variables, I encountered the following question, not easy to solve.
Let $f:\left[0,\infty\right)\rightarrow\mathbb{R}$ be a continuous positive ...
1
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0answers
54 views
A Problem on the Limit of a Sequence
While I investigate the property of positive random variables, I encountered the following question, not easy to solve.
Let $\left\{ a_n \right\}_{n=1}^{\infty}$ be a sequence that satisfies $a_n &...
2
votes
1answer
42 views
Does variance of sample mean converge to zero?
$n$ random variables $X_1,\ldots,X_n$ are an i.i.d. sample. $\bar X_n$ is the sample mean. $\mu$ is the expectation of distribution. Doesn't guarantee a finite variance.
Does this always hold?
$$E[(\...
1
vote
1answer
84 views
Using strong law of large numbers to prove transience
I'm trying to work my way through a problem which defines $N_t$ as a Poisson process of rate $\lambda$ and $
X_n = N_n − n,\quad\text{for }\; n = 0, 1, 2, \ldots
$
I've explained why $X_n$ is a ...
0
votes
1answer
17 views
Application of law of large numbers on $\frac{X_1^k+X_2^k+…+X_n^k}{n} \overset{p}{\to}E(X_1^k)$
I read through an example in which the author states that the following application of law of large numbers (without proof or explanation):
"Let $X_1,X_2,...$ be i.i.d. random variables such that $E|...
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0answers
10 views
Under finite variance assumption, does weak law of large numbers not imply the strong law?
In one of the proofs of the weak law of large numbers we assume finite variance and use Chebyshev's inequality. But if variance is finite, expectation (lower moment) is finite. And if expectation is ...
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1answer
74 views
Law of large numbers and a product of random variables
A gambler makes a long sequence of bets against a rich friend. The gambler has initial capital C. On each round, a coin is tossed; if the coin comes up tails, he loses 30% of his current capital, but ...
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2answers
62 views
Question about Strong Law of Large Numbers in Breiman
I was reading through Breiman's Probability on Strong Large Numbers and got stuck on a part of its proof. It goes:
Let $\Omega$={0,1}$^\mathbb N$ and $S_n$=$\sum_{k=1}^n\omega_k$.
If $C$={$\omega\...
0
votes
1answer
40 views
Probability in permutation of balls
There are $n$ balls, of which $r$ balls are red and $(n-r)$ balls are blue.
If we select $d$ balls at random (without replacement), what is the probability we select $rd/n$ red balls? In the ...
2
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0answers
39 views
Limitation of law of large numbers
The book "Statistical Learning Theory" by Vladimir Vapnik has a part which I cannot understand properly.
"According to the classical law of large numbers, the frequency of any event converges to the ...
6
votes
1answer
87 views
Find the limit of $\sum\limits_{r=\lfloor an \rfloor}^{\lfloor bn \rfloor} {n \choose r } p^r (1-p)^{n-r}$ using the central limit theorem
Let $p \in(0,1)$. What is the distribution of the sum of $n$ independent Bernoulli random variables with parameter $p$? Let $0 \leq a < b \leq 1$. Use approprtiate limit theorems to determine how ...
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0answers
30 views
Intuitive Explanation to a random variable concept
This is from the Wikipedia page on Stationary Processes:
Let Y be any scalar random variable, and define a time-series { Xt }, by Xt = Y for all t.
Then { Xt } is a stationary time series, for ...
3
votes
0answers
35 views
A sequence for which the running average converges to something other than the expected value
$X_1,X_2,\ldots$ is a sequence of independent random variables and
$$P\{X_n = n^2 - 1\} = 1 - P\{X_n = -1\} = n^{-2}$$
Clearly, $E[X_n] = 0$. However, $\frac{1}{n}S_n \to -1$ almost surely where $...
1
vote
3answers
127 views
Why doesn't the Law of Large Numbers hold here?
This is from an old homework assignment of mine, which I've since turned in.
Say you have an independent sequence of R.V.s such that $\mathbb{P}(X_n= 2^n) = \frac{1}{2^n} = 1 - \mathbb{P}(X_n = 0)$....
1
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1answer
42 views
Convergence of a sequence of r.v. in probability and almost surely
Let $(X_k)_{k=1}^{\infty}$ be a sequence of independent r.v. where $\mathbb{E}X_k=0$ and $\mathbb{E}X_k^2=k$. Consider $Y_n=\frac{1}{n^2}\sum_{k=1}^{n}X_k$. Show $Y_n$ converges to 0 in probability ...
2
votes
1answer
55 views
Rate of convergence of sum of random variables
I'm working on the following problem and I'm a little stuck
Suppose $X_1,X_2,\dots$ are iid.
(a) If $E|X_1|^\alpha$ is finite for some $\alpha>0$, show that $\max_{1\le k\le n} |X_k|/n^{1/...
0
votes
1answer
44 views
Expectation: Is this statment true or is there a counter example [closed]
Let $(X_i)_{i\in (1,...,N)}$ be a sequence of i.i.d random variables with $0<\mathbb{E}(X_i^2)<0$. Is
$$\sup_i|X_i|<\infty$$
a consequence of the strong law of large numbers, or is there a ...
3
votes
0answers
39 views
Rate of convergence for sum of random variables [duplicate]
I'm working on the following problem and I'm stuck.
My plan was to use SLLN, but this gives me an expression for $\sum_{i=1}^n \xi_{i}^p/n$ and it's not clear how to convert it to having ...
3
votes
1answer
155 views
Law of large numbers for sequence of running minima of i.i.d. Uniform (0,1) random variables
Let $(X_i)$ be i.i.d. Unif$(0,1)$. Define $M_n=\min\{X_1,\ldots,X_n\}$ and $T_n=\sum\limits_{k=1}^n M_k$ for every $n\ge1$. Show that $$\dfrac{T_n}{E(T_n)}\stackrel{P}{\to} 1$$
The problem I am ...
