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4
Strong Law of Large Numbers
Definition: A sequence of r.vs is said to satisfy the strong law of large
numbers (SLLN) if
as
We state the following theorems without proof which are useful in checking
whether a given sequence satisfies SLLN or not.
This theorem is helpful when the r.vs in the sequence are independent but not
identically distributed.
Theorem 2:
This theorem is helpful when the r.vs in the sequence are independent and
identically distributed (i.i.d).
n2 1 1
Further,
n1 n
2
n1 n
2
converges (
n1 n
p converges if ).
Example 2: For what value of does the SLLN hold for the sequence
k2 k 2 1
Further,
k 1
k 2 k 1 k 2 k 1 k 22
converges if
1
(
k 1 k
p
converges if ).
n2 1
Further,
n1
1
n 2 n1 n 4
converges (
k 1 k
p converges if ).
k2 1 1
Further
k 1 k
2
22 k
k 1
k 2 k 1 k 2 22 k
converges. Therefore, obeys the SLLN.
Example 5: Let be i.i.d.r.vs with mean and variance and as ,
Let . Then
By Theorem 2,
, where .
We have
which converges.