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ZixuanZhang
ZixuanZhang
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Strong Law of Large Numbers

For i.i.d. with mean , almost surely:

Theorem 5.5 (Strong Law of Large Numbers)

Let be i.i.d. random variables with mean . Let . Then

This is called the strong law of large numbers (SLLN).

Proof under a fourth moment

Assume additionally and set , so . Since forces almost surely, it suffices to show .

Expanding , all terms containing a factor to the first power vanish in expectation by independence and , while . Hence

Therefore

so and almost surely, that is, .

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