An extension of the Komlós subsequence theorem (Q757976): Difference between revisions

This paper links two results on subsequences; a theorem of \textit{J. Komlós} [Acta Math. Acad. Sci. Hungar. 18, 217-229 (1967; Zbl 0228.60012)] and one of \textit{D. J. Aldous} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 40, 59-82 (1977; Zbl 0571.60027)]. The result of Komlós states that for a sequence of random variables, \((X_ n)\) with E \(| X_ n| \leq 1\) for all n, there exists a subsequence \((X_{n(k)})\) and an integrable random variable X so that \((X_{n(1)}+...+X_{n(k)})/k\to X\) almost surely. In fact,this subsequence can be chosen so that any further subsequence has the same property. The result of Aldous implies that if E \(| X_ n|^ p\leq 1\) for some \(p>0\), then \((X_ n)\) has a subsequence with many of the same properties as those found for i.i.d. variables with finite p-th moment. The almost exchangeable structure of this result leads the author to establish that Komlós' theorem remains valid even when the sum is taken over any permutation of indices. Such a result would follow from Aldous' theorem only for \(p\geq 2\). Let \(Y_ k=X_{n(k)}\). Then for any permutation \((\sigma (1),\sigma (2),...)\) of the integers \((1,2,...),\) \((Y_{\sigma (1)}+...+Y_{\sigma (k)})/k\to X\) almost surely. The proof uses the Beppo Levi theorem to reduce the question of almost sure convergence to the verification of certain inequalities, and then establishes those inequalities for a suitable subsequence by means of an approximating exchangeable sequence.