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, .
Related
Stated in
- Theorem 5.5 (Strong Law of Large Numbers)ยง5.1 Convergence Results
