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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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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$begingroup$
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 $E(X)$?
probability-theory convergence
$endgroup$
add a comment |
$begingroup$
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 $E(X)$?
probability-theory convergence
$endgroup$
add a comment |
$begingroup$
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 $E(X)$?
probability-theory convergence
$endgroup$
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
probability-theory convergence
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
add a comment |
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
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.
$endgroup$
add a comment |
$begingroup$
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.
$endgroup$
add a comment |
Your Answer
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
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.
$endgroup$
add a comment |
$begingroup$
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.
$endgroup$
add a comment |
$begingroup$
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.
$endgroup$
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.
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
add a comment |
add a comment |
$begingroup$
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.
$endgroup$
add a comment |
$begingroup$
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.
$endgroup$
add a comment |
$begingroup$
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.
$endgroup$
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.
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
add a comment |
add a comment |
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