The law of large numbers for weakly correlated random elements in the spaces l_p, 1 p<

DOI10.1007/S10986-022-09564-XMaRDI QIDQ2674411zbMATH OpenOpenAlexWikidataFDO

Authors Valeri Berikashvili, G. Giorgobiani, Vakhtang V. Kvaratskhelia

Publication date 12 September 2022

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-022-09564-x

\(l_p\) spaces Banach spaces correlation coefficient covariance operator cross-covariance operator Hilbert space law of large numbers

Mathematics Subject Classification ID

Classical Banach spaces in the general theory (46B25) Probability theory on linear topological spaces (60B11) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Review text

\textit{A. Khintchine} obtained a result [C. R. Acad. Sci., Paris 186, 285--287 (1928; JFM 54.0544.03)] on the Law of Large Numbers (LLN) for weakly correlated random variables. In the paper under review this result is generalized for random elements with values in Banach spaces \(l_p, 1\le p<\infty\). In order to formulate the main result of the paper, let us introduce some notation. Let \(\xi_1,\xi_2,\ldots,\xi_n,\ldots\) be a sequence of weak second order centered random elements with values in the Banach space \(l_p, 1\le p<\infty\), and let the covariance operators \(R_n\equiv R_{\xi_n}:l_p^*\to l_p\) of \(\xi_n\) satisfy the condition \[ \sigma_n^s\equiv\sum\limits_{k=1}^\infty \langle e_k, R_n e_k\rangle^{s/2}<\infty, \qquad n=1,2,\ldots, \] where \(s=\min\{2,p\}\) and \(e_k = (0, \ldots,\frac{k}{1}, 0, \ldots), \, k = 1,2, \ldots \), is a sequence of unit vectors in the dual space \( l_p^*\). Let, besides there exists a nonnegative function \(g\), defined on the set of nonnegative integers such that for the correlation coefficients \(V_{mn}\) of \(\xi_m\) and \(\xi_n\) [the reviewer, Bull. Georgian Acad. Sci. 161, No. 3, 377--379 (2000; Zbl 1030.60005)] the following inequalities hold \[ \|V_{mn}\|\le g(|m-n|) \text{ for any }m, n=1,2,\ldots. \] Under these assumptions we have Theorem. If \[ \lim\limits_{n\to\infty} \frac{1}{n^2} \left(\sum\limits_{i=0}^{n-1} g(i)\right) \left(\sum\limits_{i=1}^n \sigma_i^s\right)^{2/s}=0, \] then \[ \lim\limits_{n\to\infty}\mathbb{E}\,\left\Vert\frac{1}{n} \sum\limits_{i=1}^n\xi_i \right\Vert_{l_p}^s=0, \] where \(\mathbb{E}\) is a symbol of the mathematical expectation. In particular, the sequence \(\xi_1,\xi_2,\ldots,\xi_n,\ldots\) satisfies the LLN. In the case of a Hilbert space the theorem implies the following result. Corollary. Assume that the random elements \(\xi_1,\xi_2,\ldots,\xi_n,\ldots\) with values in a separable Hilbert space additionally have a strong second order. If \[ \lim\limits_{n\to\infty} \frac{1}{n^2} \left(\sum\limits_{i=0}^{n-1} g(i)\right) \left(\sum\limits_{i=1}^n tr(R_i)\right)=0, \] then the sequence \(\xi_1,\xi_2,\ldots,\xi_n,\ldots\) satisfies the LLN, where \(tr(R_i)\) is the trace of the covariance operator \(R_i, i=1,2,\ldots\).

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