A remark on the Kolmogorov-Feller weak law of large numbers (Q2675390)
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English | A remark on the Kolmogorov-Feller weak law of large numbers |
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A remark on the Kolmogorov-Feller weak law of large numbers (English)
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23 September 2022
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Let \(X,X_{1},X_{2},...\) denote i.i.d. random variables and consider the partail sums \(S_{n}=X_{1}+X_{2}+...+X_{n}\). Also consider the mean \(\mu _{n}=EX1(\left\vert X\right\vert \leq n)\). The main result generalizes the Kolmogorov-Feller weak law of large numbers as follows. The following three statements are equivalent: (1) \(n^{-1}(S_{n}-n\mu _{n})\overset{P}{ \rightarrow }0\) as \(n\rightarrow \infty \); (2) \(nP(\left\vert X>n\right\vert )\rightarrow 0\) as \(n\rightarrow \infty \); (3) \(n^{-1}\max_{1\leq k\leq n}\left\vert S_{k}-k\mu _{k}\right\vert \overset{P}{\rightarrow }0\) as \( n\rightarrow \infty \).
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limit theorems
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weak law of large numbers
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random variables with infinite means
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maximal inequalities
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