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Almost Sure and Mean Square Convergence (Check My Answer)


Almost sure vs mean square convergenceA problem on almost sure convergenceAlmost sure convergence of a sequence of random variablesmean square convergence vs almost sure convergenceAlmost sure convergence of the inverseAlmost sure convergence (correctness of an argument)Mean square convergenceAlmost sure convergence and equivalent definitionProof verification : Almost sure convergence implies convergence in probabilityX, $X_1$, $X_2$, … uniformly bounded random variables, then convergence inprobability implies convergence in quadratic mean






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5












$begingroup$


Let $X_n$ be a random variable sequence defined as below



$$
P(X_n=x_n)=
begincases
1-left(dfrac12right)^n&textfor x_n=0 \
left(dfrac12right)^n&textfor x_n=1
endcases
$$

for $n=1,2,3,ldots$.



(a) Show that $X_n$ almost sure converges.
(b) Show that $X_n$ mean square converges.



(a) $$
limlimits_ntoinfty P(X_n=0) =limlimits_ntoinftyleft( 1-left(dfrac12right)^nright) = 1-0 = 1.
$$

$$
limlimits_ntoinfty P(X_n=1) =limlimits_ntoinftyleft(dfrac12right)^n= 0.
$$



So, I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent.



Is it true? Please check my answer.



(b)
$$
limlimits_ntoinfty Eleft((X_n-X)^2right) = limlimits_ntoinfty Eleft(X_n^2-2X_nX+X^2right)
=
limlimits_ntoinfty Eleft(X_n^2)-2E(X_nX)+E(X^2)right).
$$

I know how to check mean square convergence, is
$$limlimits_ntoinfty Eleft((X_n-X)^2right)=0.$$
Now, I confuse about $E(X)$. How to find $E(X)$?










share|cite|improve this question











$endgroup$


















    5












    $begingroup$


    Let $X_n$ be a random variable sequence defined as below



    $$
    P(X_n=x_n)=
    begincases
    1-left(dfrac12right)^n&textfor x_n=0 \
    left(dfrac12right)^n&textfor x_n=1
    endcases
    $$

    for $n=1,2,3,ldots$.



    (a) Show that $X_n$ almost sure converges.
    (b) Show that $X_n$ mean square converges.



    (a) $$
    limlimits_ntoinfty P(X_n=0) =limlimits_ntoinftyleft( 1-left(dfrac12right)^nright) = 1-0 = 1.
    $$

    $$
    limlimits_ntoinfty P(X_n=1) =limlimits_ntoinftyleft(dfrac12right)^n= 0.
    $$



    So, I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent.



    Is it true? Please check my answer.



    (b)
    $$
    limlimits_ntoinfty Eleft((X_n-X)^2right) = limlimits_ntoinfty Eleft(X_n^2-2X_nX+X^2right)
    =
    limlimits_ntoinfty Eleft(X_n^2)-2E(X_nX)+E(X^2)right).
    $$

    I know how to check mean square convergence, is
    $$limlimits_ntoinfty Eleft((X_n-X)^2right)=0.$$
    Now, I confuse about $E(X)$. How to find $E(X)$?










    share|cite|improve this question











    $endgroup$














      5












      5








      5


      1



      $begingroup$


      Let $X_n$ be a random variable sequence defined as below



      $$
      P(X_n=x_n)=
      begincases
      1-left(dfrac12right)^n&textfor x_n=0 \
      left(dfrac12right)^n&textfor x_n=1
      endcases
      $$

      for $n=1,2,3,ldots$.



      (a) Show that $X_n$ almost sure converges.
      (b) Show that $X_n$ mean square converges.



      (a) $$
      limlimits_ntoinfty P(X_n=0) =limlimits_ntoinftyleft( 1-left(dfrac12right)^nright) = 1-0 = 1.
      $$

      $$
      limlimits_ntoinfty P(X_n=1) =limlimits_ntoinftyleft(dfrac12right)^n= 0.
      $$



      So, I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent.



      Is it true? Please check my answer.



      (b)
      $$
      limlimits_ntoinfty Eleft((X_n-X)^2right) = limlimits_ntoinfty Eleft(X_n^2-2X_nX+X^2right)
      =
      limlimits_ntoinfty Eleft(X_n^2)-2E(X_nX)+E(X^2)right).
      $$

      I know how to check mean square convergence, is
      $$limlimits_ntoinfty Eleft((X_n-X)^2right)=0.$$
      Now, I confuse about $E(X)$. How to find $E(X)$?










      share|cite|improve this question











      $endgroup$




      Let $X_n$ be a random variable sequence defined as below



      $$
      P(X_n=x_n)=
      begincases
      1-left(dfrac12right)^n&textfor x_n=0 \
      left(dfrac12right)^n&textfor x_n=1
      endcases
      $$

      for $n=1,2,3,ldots$.



      (a) Show that $X_n$ almost sure converges.
      (b) Show that $X_n$ mean square converges.



      (a) $$
      limlimits_ntoinfty P(X_n=0) =limlimits_ntoinftyleft( 1-left(dfrac12right)^nright) = 1-0 = 1.
      $$

      $$
      limlimits_ntoinfty P(X_n=1) =limlimits_ntoinftyleft(dfrac12right)^n= 0.
      $$



      So, I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent.



      Is it true? Please check my answer.



      (b)
      $$
      limlimits_ntoinfty Eleft((X_n-X)^2right) = limlimits_ntoinfty Eleft(X_n^2-2X_nX+X^2right)
      =
      limlimits_ntoinfty Eleft(X_n^2)-2E(X_nX)+E(X^2)right).
      $$

      I know how to check mean square convergence, is
      $$limlimits_ntoinfty Eleft((X_n-X)^2right)=0.$$
      Now, I confuse about $E(X)$. How to find $E(X)$?







      probability-theory convergence






      share|cite|improve this question















      share|cite|improve this question













      share|cite|improve this question




      share|cite|improve this question








      edited Jul 17 at 5:32









      Feng Shao

      2,6741 silver badge21 bronze badges




      2,6741 silver badge21 bronze badges










      asked Jul 17 at 3:04









      Ongky Denny WijayaOngky Denny Wijaya

      5131 silver badge8 bronze badges




      5131 silver badge8 bronze badges




















          2 Answers
          2






          active

          oldest

          votes


















          5












          $begingroup$

          I guess you are a beginner in this topic, so I'll write my answer as clearly as possible. You must have missed something during your study about the convergence of random variables. The terms in my answer are based on this Wikipieda page.



          For (a), what you proved is that $X_n$ converges to $0$ in probability. But your "conclusion" I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent does not make any sense. Think carefully about that.



          Now I move to the proof of your problem.



          (a) Since
          $$sum_n=1^infty P(|X_n|>0)=sum_n=1^infty left(frac12right)^n<infty,$$
          we know that $P(limsup_ntoinfty)=0$ by Borel-Cantelli lemma. This implies that $P(textevents text take place only for finitely many times)=1,$ which means that $X_n$ converges to $0$ almost surely.



          (b) In this case $X=0$ so $E((X_n-X)^2)=E(X_n^2)=(frac12)^nto 0$. Therefore $X_n$ converges to $0$ in mean square.






          share|cite|improve this answer











          $endgroup$




















            3












            $begingroup$

            You cannot prove almost sure convergence by just showing that $P(X_n=0) to 1$ and $P(X_n=1) to 0$. Note that $sum_m P(X_n neq 0)=sum_n frac 1 2^n <infty$. By Borel Cantelli Lemma this implies that with probability $1$ the sequence $(X_n)$ becomes $0$ after some stage. Hence $X_n to 0$ almost surely.



            Also $EX_n^2=frac 1 2^n to 0$ so $X_n to 0$ in mean square.






            share|cite|improve this answer











            $endgroup$















              Your Answer








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              2 Answers
              2






              active

              oldest

              votes








              2 Answers
              2






              active

              oldest

              votes









              active

              oldest

              votes






              active

              oldest

              votes









              5












              $begingroup$

              I guess you are a beginner in this topic, so I'll write my answer as clearly as possible. You must have missed something during your study about the convergence of random variables. The terms in my answer are based on this Wikipieda page.



              For (a), what you proved is that $X_n$ converges to $0$ in probability. But your "conclusion" I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent does not make any sense. Think carefully about that.



              Now I move to the proof of your problem.



              (a) Since
              $$sum_n=1^infty P(|X_n|>0)=sum_n=1^infty left(frac12right)^n<infty,$$
              we know that $P(limsup_ntoinfty)=0$ by Borel-Cantelli lemma. This implies that $P(textevents text take place only for finitely many times)=1,$ which means that $X_n$ converges to $0$ almost surely.



              (b) In this case $X=0$ so $E((X_n-X)^2)=E(X_n^2)=(frac12)^nto 0$. Therefore $X_n$ converges to $0$ in mean square.






              share|cite|improve this answer











              $endgroup$

















                5












                $begingroup$

                I guess you are a beginner in this topic, so I'll write my answer as clearly as possible. You must have missed something during your study about the convergence of random variables. The terms in my answer are based on this Wikipieda page.



                For (a), what you proved is that $X_n$ converges to $0$ in probability. But your "conclusion" I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent does not make any sense. Think carefully about that.



                Now I move to the proof of your problem.



                (a) Since
                $$sum_n=1^infty P(|X_n|>0)=sum_n=1^infty left(frac12right)^n<infty,$$
                we know that $P(limsup_ntoinfty)=0$ by Borel-Cantelli lemma. This implies that $P(textevents text take place only for finitely many times)=1,$ which means that $X_n$ converges to $0$ almost surely.



                (b) In this case $X=0$ so $E((X_n-X)^2)=E(X_n^2)=(frac12)^nto 0$. Therefore $X_n$ converges to $0$ in mean square.






                share|cite|improve this answer











                $endgroup$















                  5












                  5








                  5





                  $begingroup$

                  I guess you are a beginner in this topic, so I'll write my answer as clearly as possible. You must have missed something during your study about the convergence of random variables. The terms in my answer are based on this Wikipieda page.



                  For (a), what you proved is that $X_n$ converges to $0$ in probability. But your "conclusion" I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent does not make any sense. Think carefully about that.



                  Now I move to the proof of your problem.



                  (a) Since
                  $$sum_n=1^infty P(|X_n|>0)=sum_n=1^infty left(frac12right)^n<infty,$$
                  we know that $P(limsup_ntoinfty)=0$ by Borel-Cantelli lemma. This implies that $P(textevents text take place only for finitely many times)=1,$ which means that $X_n$ converges to $0$ almost surely.



                  (b) In this case $X=0$ so $E((X_n-X)^2)=E(X_n^2)=(frac12)^nto 0$. Therefore $X_n$ converges to $0$ in mean square.






                  share|cite|improve this answer











                  $endgroup$



                  I guess you are a beginner in this topic, so I'll write my answer as clearly as possible. You must have missed something during your study about the convergence of random variables. The terms in my answer are based on this Wikipieda page.



                  For (a), what you proved is that $X_n$ converges to $0$ in probability. But your "conclusion" I conclude that $X_n=0$ is almost sure convergent, but $X_n=1$ is not almost sure convergent does not make any sense. Think carefully about that.



                  Now I move to the proof of your problem.



                  (a) Since
                  $$sum_n=1^infty P(|X_n|>0)=sum_n=1^infty left(frac12right)^n<infty,$$
                  we know that $P(limsup_ntoinfty)=0$ by Borel-Cantelli lemma. This implies that $P(textevents text take place only for finitely many times)=1,$ which means that $X_n$ converges to $0$ almost surely.



                  (b) In this case $X=0$ so $E((X_n-X)^2)=E(X_n^2)=(frac12)^nto 0$. Therefore $X_n$ converges to $0$ in mean square.







                  share|cite|improve this answer














                  share|cite|improve this answer



                  share|cite|improve this answer








                  edited Jul 19 at 9:50









                  user661541

                  8312 bronze badges




                  8312 bronze badges










                  answered Jul 17 at 5:40









                  Feng ShaoFeng Shao

                  2,6741 silver badge21 bronze badges




                  2,6741 silver badge21 bronze badges























                      3












                      $begingroup$

                      You cannot prove almost sure convergence by just showing that $P(X_n=0) to 1$ and $P(X_n=1) to 0$. Note that $sum_m P(X_n neq 0)=sum_n frac 1 2^n <infty$. By Borel Cantelli Lemma this implies that with probability $1$ the sequence $(X_n)$ becomes $0$ after some stage. Hence $X_n to 0$ almost surely.



                      Also $EX_n^2=frac 1 2^n to 0$ so $X_n to 0$ in mean square.






                      share|cite|improve this answer











                      $endgroup$

















                        3












                        $begingroup$

                        You cannot prove almost sure convergence by just showing that $P(X_n=0) to 1$ and $P(X_n=1) to 0$. Note that $sum_m P(X_n neq 0)=sum_n frac 1 2^n <infty$. By Borel Cantelli Lemma this implies that with probability $1$ the sequence $(X_n)$ becomes $0$ after some stage. Hence $X_n to 0$ almost surely.



                        Also $EX_n^2=frac 1 2^n to 0$ so $X_n to 0$ in mean square.






                        share|cite|improve this answer











                        $endgroup$















                          3












                          3








                          3





                          $begingroup$

                          You cannot prove almost sure convergence by just showing that $P(X_n=0) to 1$ and $P(X_n=1) to 0$. Note that $sum_m P(X_n neq 0)=sum_n frac 1 2^n <infty$. By Borel Cantelli Lemma this implies that with probability $1$ the sequence $(X_n)$ becomes $0$ after some stage. Hence $X_n to 0$ almost surely.



                          Also $EX_n^2=frac 1 2^n to 0$ so $X_n to 0$ in mean square.






                          share|cite|improve this answer











                          $endgroup$



                          You cannot prove almost sure convergence by just showing that $P(X_n=0) to 1$ and $P(X_n=1) to 0$. Note that $sum_m P(X_n neq 0)=sum_n frac 1 2^n <infty$. By Borel Cantelli Lemma this implies that with probability $1$ the sequence $(X_n)$ becomes $0$ after some stage. Hence $X_n to 0$ almost surely.



                          Also $EX_n^2=frac 1 2^n to 0$ so $X_n to 0$ in mean square.







                          share|cite|improve this answer














                          share|cite|improve this answer



                          share|cite|improve this answer








                          edited Jul 17 at 6:05

























                          answered Jul 17 at 5:34









                          Kavi Rama MurthyKavi Rama Murthy

                          103k5 gold badges42 silver badges81 bronze badges




                          103k5 gold badges42 silver badges81 bronze badges



























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