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Lecture12 Convergence - New - Annotated - Day3

The document discusses the concept of convergence in sequences of random variables, explaining various types such as point-wise convergence, almost-sure convergence, mean square convergence, and convergence in probability. It highlights the relationships between these types of convergence and provides examples, including the strong and weak laws of large numbers. Additionally, it introduces the central limit theorem as an example of convergence in distribution.

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rajdeep.alapati
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7 views44 pages

Lecture12 Convergence - New - Annotated - Day3

The document discusses the concept of convergence in sequences of random variables, explaining various types such as point-wise convergence, almost-sure convergence, mean square convergence, and convergence in probability. It highlights the relationships between these types of convergence and provides examples, including the strong and weak laws of large numbers. Additionally, it introduces the central limit theorem as an example of convergence in distribution.

Uploaded by

rajdeep.alapati
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPTX, PDF, TXT or read online on Scribd
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CONVERGENCE OF SEQUENCES

OF RANDOM VARIABLES

Ref:
Book - Leon Garcia, Ch-7
What is convergence?
• We obtain a sequence of random variables by letting n
increase without bound,
• Sequence of random variables X is a function that
assigns a countably infinite number of real values to
each outcome from some sample space S
What is convergence?
• Intuitively, we say that the sequence of real numbers converges to the
real number x if the difference approaches zero as n approaches infinity.

• Let us understand in detail..


Thus if a sequence converges, then for any we can
find an integer N so that the sequence remains
inside (2ε) corridor about x
• Q: If ε is small, we need large N or small N?
• Cauchy Criterion: Determines whether a sequence converges. By it,
Hint: we consider the absolute difference between the nth number in the
sequence and the limit.

Then obtain the value of N for convergence to satisfy.


• Q: Do all (or almost all) sample sequences converge ?
• Q: If so, do they all converge to the same values or to different
values?
Definition-0: Point-wise Convergence or Sure
Convergence
Definition-1
In almost-sure convergence some of the sample sequences may not converge, but
these must all belong to that are in a set that has probability zero.
Sure convergence implies almost-sure convergence (but not vice
versa).
The strong law of large numbers is an example of almost-sure
convergence.
Definition-2
• Does it converge in mean square sense?
• Mean square convergence occurs if the second moment of the error
approaches zero as n approaches infinity.
• This implies that as n increases, an increasing proportion of sample
sequences are close to X;

• however, it does not imply that all such sequences remain close to X
as in the case of almost-sure convergence.
Definition-3
• Weak law of large numbers is an example of convergence in probability.
• Thus we see that the fundamental difference between almost-sure convergence
and convergence in probability is the same as that between the strong law and
the weak law of large numbers.
• Mean square convergence implies convergence in probability

If the sequence converges in the mean square sense, then the right-hand side
approaches zero as n approaches infinity.
It then follows that the sequence also converges in probability
• It can be shown that almost-sure convergence implies convergence
in probability.
• However, almost-sure convergence does not always imply mean
square convergence
• Take an example..
Ex
Mean square convergence does not imply
almost sure convergence
Definition: Convergence in r-th mean
Definition-4

• The central limit theorem is an example of convergence in distribution


Notations:
Hierarchy of Convergence

• No other implications hold in general


Theorem 1:
Theorem 2

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