Self-averaging sequences which fail to converge

DOI10.1214/17-ECP48MaRDI QIDQ512972zbMATH OpenFDO

Authors Henk Don, Eric A. Cator

Publication date 3 March 2017

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.07971, https://projecteuclid.org/euclid.ecp/1487386904

zbMATH Keywords

group Russian roulette problemnon-convergencerecursionself-averaging sequencesshooting problem

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99)

Abstract: We consider self-averaging sequences in which each term is a weighted average over previous terms. For several sequences of this kind it is known that they do not converge to a limit. These sequences share the property that $n$th term is mainly based on terms around a fixed fraction of $n$. We give a probabilistic interpretation to such sequences and give weak conditions under which it is natural to expect non-convergence. Our methods are illustrated by application to the group Russian roulette problem.

Review text

The authors have studied sequences \(p(n)\) characterized by the property that each term is a weighted average over previous terms. In several examples in the literature, such sequences do not converge to a limit, which at first sight might be surprising. The main purpose of this paper is to demonstrate that it is natural to expect non-convergence if the largest weights in the average \(p(n)\) are given to values \(p(k)\) for which \(k\) is close to a fixed fraction of \(n\). It turns out that non-convergence is predictable or even inevitable under fairly weak conditions. The intuition is that fluctuations in \(p\) happen on a large scale, and if the averages are taken on a smaller scale, they cannot let the fluctuations vanish. The methods of the paper are illustrated by proving non-convergence for the group Russian roulette problem.

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