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A WEAK LAW OF LARGE NUMBERS FOR DEPENDENT RANDOM VARIABLES.

Authors :
KARATZAS, I.
SCHACHERMAYER, W.
Source :
Theory of Probability & Its Applications. 2023, Vol. 68 Issue 3, p501-509. 9p.
Publication Year :
2023

Abstract

Each sequence f1, f2, ... of random variables satisfying limM→∞ (M supk∈N P(|fk| > M)) = 0 contains a subsequence fk1, fk2, ??? which, along with all its subsequences, satisfies the weak law of large numbers limN→∞ ((1/N) ∑n=1N fkn -- DN) = 0 in probability. Here, DN is a "corrector" random variable with values in [--N, N] for each N ∈ N; these correctors are all equal to zero if, in addition, lim infn→∞ E (fn² 1{|fn|≤M})) = 0 for every M ∈ (0, ∞). [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
0040585X
Volume :
68
Issue :
3
Database :
Academic Search Index
Journal :
Theory of Probability & Its Applications
Publication Type :
Academic Journal
Accession number :
175917824
Full Text :
https://doi.org/10.1137/S0040585X97T991593