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Convergence

Convergence of Sequence of RVS

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82 views7 pages

Convergence

Convergence of Sequence of RVS

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ashwini1512
Copyright
© © All Rights Reserved
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Econ 2110 Section 6: Fall 2007 Agenda: ‘+ Convergence of random variables 1 Convergence of random variables Motivation. Suppose that X;,...Xq are independent, identically distributed random variables with mean 1 and variance 0. Then B(X,)=E (: =x) a and VR v ( > x) Note tht we used independence only fo the result on valance. Second, noe thatthe expected value ofthe sample mean she poptton mean: That it is unbiased: E(X,,) = y, for all y. Finally, consider the behavior of the sample mean as the sample size grows. Will a larger sample allow us to make more preieIfrencen about Hare is oe a knom Marko's inequality Markov's Inequality. For r > 0, rixi> < 2020, woso, When r = 2 this is called Chebyshev’s Inequality. We need E|X|" < co to use this, Exercise. Use Chebyshev's Inequality to bound the difference between the sample mean and the population mean. eat PEX-pl> sks leet 5 Gai ‘The following example from the lecture notes is meant to demonstrate the need for difference notions of convergence. The main issue here is that we are working with sequences of functions, not sequences of numbers, and so it is not immediately clear what it would mean to make a statement like X;n(w) —> X(w)- oe Bot ciate gene pt: Example 1. Consider the sequence of random variables X;, Xz). where \ectwe wk) the paf of X, is equal to { (2-0/2 -1n 0, plu Ky =X slim Pr(lXn—X1> 6) = Definition $ A soquence of random variables Xq converges to X in quadratic mean if E(X2) < oo for all n and hoe of 5 "fofuue of sequence lim, BX, —X)"] Mote a wid plut™ Definition 4 A sequence of random variables X,, converges in distribution to @ random variable Y if, at all continuity points y of Fy(), lim, Fx, (0) = Fr(). Comments ‘© Almost sure convergence may be the most intuitive notion of conver- gence: we could define convergence of functions in terms of pointurise convergence: that is, we could say that X, —> X pointwise if the set A= {w Oli, soo Xn(v) = X(u)} satisfies A= 0. But in probability wwe really only care if the set on which the pointwise convergence does not occur (4°) happens with probability zero, This is the notion of ‘almost, sure’ convergence. © The definition for almost sure convergence implies and is implied by the following: for all > 0, lim, P{(Xm—X]n}=1 WV £80, Darmalss) st ~ PED tacx] 28s If X, converges to X almost surely, it is also the case that Xn —*p X, ante OM Cuvee 9% aot mmwe, tO oe oan . But 2 oes, PUD Amex) Ite Mlawe vm ese) Kare. ‘© Convergence in quadratic mean implies convergence in probability. Why? Cy Pttaette EE 65 i Ato ‘© Tt is also the case that Xn —%p X implies Xq tg X. The converse is not true in general, though itis if Xq —v4 ¢, where c is a constant. © Some of the relationships among these different types of convergence can be described by the figure below. Ku4s ae oll os. $42 EE feat sols Keak 7 ox convene hae 2 fase 4 wees. Let’s see some examples. Avs: pembore, Example 2. (CB 5.5.7) Let © = (0,1] and let P((o,2) = ba for 0 Cav fb wm M 4m tho par | enceppin 8. st i by agus Hat fom sepunte emnegen af all. s 3s Don hace = cer oes teas the eS i pudovaly) #4 BY mag 5, sep ced *9 qeor fuuait Kula) eney will teh ar qucceedig xa, bet olue equal Example 7 (from homework). Random variables X and Yq, n= 1,2,.. are defined on the same sample space with pmtf's 4/2 1 ree-{ 1/2 z= 0 otherwise otherwise 1/2-1/(n$1) y=—d fry) =4 241/41) yal 0 For each of the following statements, prove that it is true or provide a coun- texexample. (1) Yq ta X. (2) Yap X. (8) Yu tas X. Dak bo. oO «<-l 4 Fx(O* fe wisxe! ei: tous Rid: £0, 557! — EST 1 vey os Ui) Tue Hat erat BE co tue), Frere f- po xe C0, AUF t-a > +e. Fy) > kG) ¥ cy me af Ble). (@ Ne tee fae Ha Yunde Ke Exungle, Say Qe foi? Be “1 oseach Hey St OfRE arty Keo) i geal wen Pe bad swst gue guh pats. Bat fe wrde ay, [Yl)-Mld] 2, owe 4m he wee J%lo)-Xell = 2, while hr wel, hrYuil —1%46a) -KladJ= 0. Tans ied be 2, PEL EAS el Be | 7 (DH KP Yaak.

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