Weak law of large numbers without any restriction on the dependence structure of random variables (Q2169293)

The authors establish a version of the weak law of large numbers for a sequence \(X_1,X_2,\ldots\) of random variables which are stochastically dominated by a random variable \(\xi\) whose tail probabilities are regularly varying. That is, the authors assume that there is a constant \(c>0\) such that \[ \sup_{n\geq1}\mathbb{P}(|X_n|>x)\leq c\mathbb{P}(|\xi|>x)\,, \] for all \(x\geq0\), where the function \(x\mapsto\mathbb{P}(|\xi|>x)\) is regularly varying with exponent \(\rho>-1\). Under this assumption, and for a sequence \(b_1,b_2,\ldots\) such that \(\sum_{n=1}^\infty b_n^{-2}<\infty\) and \(n\mathbb{P}(|\xi|>b_n)\to0\), the authors show that \(\frac{1}{b_n}\sum_{k=1}^nX_k\) converges in probability to zero as \(n\to\infty\). This result is illustrated with some examples.