Laws of large numbers for weighted sums of independent random variables: a game of mass

DOI10.1007/S10959-023-01296-ZMaRDI QIDQ6204778zbMATH OpenOpenAlexFDO

Authors Luca Avena, Conrado da Costa

Publication date 2 April 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2004.00469

zbMATH Keywords

law of large numbersToeplitz matricesweighted sums of independent random variables

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Abstract: We consider weighted sums of independent random variables regulated by an increment sequence. We provide operative conditions that ensure strong law of large numbers for such sums to hold in both the centered and non-centered case. The existing criteria for the strong law are either implicit or assume some sufficient decay for the sequence of coefficients. In our set up we allow for arbitrary sequence of coefficients, possibly random, provided the random variables regulated by such increments satisfy some mild concentration conditions. In the non-centered case, convergence can be translated into the behavior of a deterministic sequence and it becomes a game of mass provided the expectation of the random variables is a function of the increments. We show how different limiting scenarios can emerge by identifying several classes of increments, for which concrete examples will be offered.

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