Strong law of Large numbers (SLLN4)











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I'm trying to prove SLLN(4):
Let ${X_n : ngeq1}$ be a sequence of $L^1-$integrable independent random variables on a probability space and $S_n = sum_{j=1}^nX_{j}$ for every $ngeq1$. Let $phi : mathbb{R} to mathbb{R}$ be a positive and continuous even function such that $frac{phi(x)}{x}$ is non-decreasing in $x in (0,infty)$ and $frac{phi(x)}{x^2}$ is non-increasing in $x in (0,infty)$. Assume that for some sequence ${b_n: ngeq1}$ of positive real numbers with $b_n to infty$ as $n to infty$,
$$sum_{ngeq1}frac{mathbb{E}[phi(X_n)]}{phi(b_n)} <infty$$
Prove that
$$frac{S_n-mathbb{E}[S_n]}{b_n} to 0 qquad mbox{a.s.}$$




In order to finalize the proof I just need to show
$$frac{T_n-mathbb{E}[T_n]}{b_n} to 0 quad mbox{a.s.}$$
where $T_n = sum_{j=1}^{n}Y_j$, and $Y_j$ is truncated version of $X_j$:
$$Y_n = X_n mathbb{1}_{|X_n|le b_n},$$ which in turn, only suffices to show $sum_{n=1}^{infty} frac{operatorname{Var}(Y_n)}{b_n^2} < infty$.



How can I prove this last inequality?










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    I'm trying to prove SLLN(4):
    Let ${X_n : ngeq1}$ be a sequence of $L^1-$integrable independent random variables on a probability space and $S_n = sum_{j=1}^nX_{j}$ for every $ngeq1$. Let $phi : mathbb{R} to mathbb{R}$ be a positive and continuous even function such that $frac{phi(x)}{x}$ is non-decreasing in $x in (0,infty)$ and $frac{phi(x)}{x^2}$ is non-increasing in $x in (0,infty)$. Assume that for some sequence ${b_n: ngeq1}$ of positive real numbers with $b_n to infty$ as $n to infty$,
    $$sum_{ngeq1}frac{mathbb{E}[phi(X_n)]}{phi(b_n)} <infty$$
    Prove that
    $$frac{S_n-mathbb{E}[S_n]}{b_n} to 0 qquad mbox{a.s.}$$




    In order to finalize the proof I just need to show
    $$frac{T_n-mathbb{E}[T_n]}{b_n} to 0 quad mbox{a.s.}$$
    where $T_n = sum_{j=1}^{n}Y_j$, and $Y_j$ is truncated version of $X_j$:
    $$Y_n = X_n mathbb{1}_{|X_n|le b_n},$$ which in turn, only suffices to show $sum_{n=1}^{infty} frac{operatorname{Var}(Y_n)}{b_n^2} < infty$.



    How can I prove this last inequality?










    share|cite|improve this question


























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      I'm trying to prove SLLN(4):
      Let ${X_n : ngeq1}$ be a sequence of $L^1-$integrable independent random variables on a probability space and $S_n = sum_{j=1}^nX_{j}$ for every $ngeq1$. Let $phi : mathbb{R} to mathbb{R}$ be a positive and continuous even function such that $frac{phi(x)}{x}$ is non-decreasing in $x in (0,infty)$ and $frac{phi(x)}{x^2}$ is non-increasing in $x in (0,infty)$. Assume that for some sequence ${b_n: ngeq1}$ of positive real numbers with $b_n to infty$ as $n to infty$,
      $$sum_{ngeq1}frac{mathbb{E}[phi(X_n)]}{phi(b_n)} <infty$$
      Prove that
      $$frac{S_n-mathbb{E}[S_n]}{b_n} to 0 qquad mbox{a.s.}$$




      In order to finalize the proof I just need to show
      $$frac{T_n-mathbb{E}[T_n]}{b_n} to 0 quad mbox{a.s.}$$
      where $T_n = sum_{j=1}^{n}Y_j$, and $Y_j$ is truncated version of $X_j$:
      $$Y_n = X_n mathbb{1}_{|X_n|le b_n},$$ which in turn, only suffices to show $sum_{n=1}^{infty} frac{operatorname{Var}(Y_n)}{b_n^2} < infty$.



      How can I prove this last inequality?










      share|cite|improve this question
















      I'm trying to prove SLLN(4):
      Let ${X_n : ngeq1}$ be a sequence of $L^1-$integrable independent random variables on a probability space and $S_n = sum_{j=1}^nX_{j}$ for every $ngeq1$. Let $phi : mathbb{R} to mathbb{R}$ be a positive and continuous even function such that $frac{phi(x)}{x}$ is non-decreasing in $x in (0,infty)$ and $frac{phi(x)}{x^2}$ is non-increasing in $x in (0,infty)$. Assume that for some sequence ${b_n: ngeq1}$ of positive real numbers with $b_n to infty$ as $n to infty$,
      $$sum_{ngeq1}frac{mathbb{E}[phi(X_n)]}{phi(b_n)} <infty$$
      Prove that
      $$frac{S_n-mathbb{E}[S_n]}{b_n} to 0 qquad mbox{a.s.}$$




      In order to finalize the proof I just need to show
      $$frac{T_n-mathbb{E}[T_n]}{b_n} to 0 quad mbox{a.s.}$$
      where $T_n = sum_{j=1}^{n}Y_j$, and $Y_j$ is truncated version of $X_j$:
      $$Y_n = X_n mathbb{1}_{|X_n|le b_n},$$ which in turn, only suffices to show $sum_{n=1}^{infty} frac{operatorname{Var}(Y_n)}{b_n^2} < infty$.



      How can I prove this last inequality?







      probability-theory law-of-large-numbers






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      edited Nov 16 at 11:09









      Davide Giraudo

      124k16150256




      124k16150256










      asked Nov 15 at 17:12









      Weak Nullstellensatz

      163




      163






















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          For a non negative random variable $X$, the following inequalities hold:
          $$
          X^2mathbf 1left{Xleqslant bright}leqslant bXmathbf 1left{Xleqslant bright}
          =bfrac{X}{phileft(Xright)}phileft(Xright)mathbf 1left{Xleqslant bright}
          leqslant bfrac{b}{phileft(bright)}phileft(Xright),$$

          where we used the fact that $xmapsto phi(x)/x$ is non-decreasing.
          Apply this to $X=leftlvert X_nrightrvert$ and $b=b_n$ to get the wanted result.






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            For a non negative random variable $X$, the following inequalities hold:
            $$
            X^2mathbf 1left{Xleqslant bright}leqslant bXmathbf 1left{Xleqslant bright}
            =bfrac{X}{phileft(Xright)}phileft(Xright)mathbf 1left{Xleqslant bright}
            leqslant bfrac{b}{phileft(bright)}phileft(Xright),$$

            where we used the fact that $xmapsto phi(x)/x$ is non-decreasing.
            Apply this to $X=leftlvert X_nrightrvert$ and $b=b_n$ to get the wanted result.






            share|cite|improve this answer

























              up vote
              1
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              For a non negative random variable $X$, the following inequalities hold:
              $$
              X^2mathbf 1left{Xleqslant bright}leqslant bXmathbf 1left{Xleqslant bright}
              =bfrac{X}{phileft(Xright)}phileft(Xright)mathbf 1left{Xleqslant bright}
              leqslant bfrac{b}{phileft(bright)}phileft(Xright),$$

              where we used the fact that $xmapsto phi(x)/x$ is non-decreasing.
              Apply this to $X=leftlvert X_nrightrvert$ and $b=b_n$ to get the wanted result.






              share|cite|improve this answer























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                up vote
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                down vote









                For a non negative random variable $X$, the following inequalities hold:
                $$
                X^2mathbf 1left{Xleqslant bright}leqslant bXmathbf 1left{Xleqslant bright}
                =bfrac{X}{phileft(Xright)}phileft(Xright)mathbf 1left{Xleqslant bright}
                leqslant bfrac{b}{phileft(bright)}phileft(Xright),$$

                where we used the fact that $xmapsto phi(x)/x$ is non-decreasing.
                Apply this to $X=leftlvert X_nrightrvert$ and $b=b_n$ to get the wanted result.






                share|cite|improve this answer












                For a non negative random variable $X$, the following inequalities hold:
                $$
                X^2mathbf 1left{Xleqslant bright}leqslant bXmathbf 1left{Xleqslant bright}
                =bfrac{X}{phileft(Xright)}phileft(Xright)mathbf 1left{Xleqslant bright}
                leqslant bfrac{b}{phileft(bright)}phileft(Xright),$$

                where we used the fact that $xmapsto phi(x)/x$ is non-decreasing.
                Apply this to $X=leftlvert X_nrightrvert$ and $b=b_n$ to get the wanted result.







                share|cite|improve this answer












                share|cite|improve this answer



                share|cite|improve this answer










                answered Nov 15 at 22:42









                Davide Giraudo

                124k16150256




                124k16150256






























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