Is this proof of almost sure convergence correct
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I have a sequence of random variables $X_i$ such that $P[X_n = 1 ] = frac1n$ and $P[X_n = 0 ] = 1 -frac1n$.
We can see that this sequence $X_i$ converges in probablity to the sequence $X = 0$ because $P[|X_n - 0| > epsilon] = P[X_i = 1] = frac1n $ and hence, $lim_n to infty P[|X_n - 0| > epsilon] = 0$
My attempt at almost sure convergence:
We have to prove/disprove that $P[lim_n to infty X_n = 0] = 1$. One way to look at this is: We have a sequence of random variables $X_n(omega)$ being generated by the Bernoulli distribution whose PMF is $(frac1n)^omega(fracn-1n)^1-omega$ where $omega$ can take values 0,1.
As $n to infty$, the chance of observing the 1's will reduce with n. However, we cannot for sure that we will always observe $X_n = 0$, no matter how large the n is. We can say, for sure, we will always observe $X_n = 0$ only if $n = infty$, otherwise there is always +ve chance that we can observe 1's. Hence the probability of the event $[lim_n to infty X_n = 0]$ is zero. Hence, the above sequence of random variables does not almost surely converge to $0$.
Is this argument correct? Are there more elegant arguments either to disprove or prove the almost sure convergence?
real-analysis probability-theory measure-theory proof-verification convergence
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up vote
1
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I have a sequence of random variables $X_i$ such that $P[X_n = 1 ] = frac1n$ and $P[X_n = 0 ] = 1 -frac1n$.
We can see that this sequence $X_i$ converges in probablity to the sequence $X = 0$ because $P[|X_n - 0| > epsilon] = P[X_i = 1] = frac1n $ and hence, $lim_n to infty P[|X_n - 0| > epsilon] = 0$
My attempt at almost sure convergence:
We have to prove/disprove that $P[lim_n to infty X_n = 0] = 1$. One way to look at this is: We have a sequence of random variables $X_n(omega)$ being generated by the Bernoulli distribution whose PMF is $(frac1n)^omega(fracn-1n)^1-omega$ where $omega$ can take values 0,1.
As $n to infty$, the chance of observing the 1's will reduce with n. However, we cannot for sure that we will always observe $X_n = 0$, no matter how large the n is. We can say, for sure, we will always observe $X_n = 0$ only if $n = infty$, otherwise there is always +ve chance that we can observe 1's. Hence the probability of the event $[lim_n to infty X_n = 0]$ is zero. Hence, the above sequence of random variables does not almost surely converge to $0$.
Is this argument correct? Are there more elegant arguments either to disprove or prove the almost sure convergence?
real-analysis probability-theory measure-theory proof-verification convergence
1
The proof is wrong since both almost sure divergence and almost sure convergence may occur. Additionally, the statement that $X_n = 0$ only if $n = infty$ is absurd since there is no $X_infty$ in the picture.
â Did
Aug 15 at 11:18
add a comment |Â
up vote
1
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up vote
1
down vote
favorite
I have a sequence of random variables $X_i$ such that $P[X_n = 1 ] = frac1n$ and $P[X_n = 0 ] = 1 -frac1n$.
We can see that this sequence $X_i$ converges in probablity to the sequence $X = 0$ because $P[|X_n - 0| > epsilon] = P[X_i = 1] = frac1n $ and hence, $lim_n to infty P[|X_n - 0| > epsilon] = 0$
My attempt at almost sure convergence:
We have to prove/disprove that $P[lim_n to infty X_n = 0] = 1$. One way to look at this is: We have a sequence of random variables $X_n(omega)$ being generated by the Bernoulli distribution whose PMF is $(frac1n)^omega(fracn-1n)^1-omega$ where $omega$ can take values 0,1.
As $n to infty$, the chance of observing the 1's will reduce with n. However, we cannot for sure that we will always observe $X_n = 0$, no matter how large the n is. We can say, for sure, we will always observe $X_n = 0$ only if $n = infty$, otherwise there is always +ve chance that we can observe 1's. Hence the probability of the event $[lim_n to infty X_n = 0]$ is zero. Hence, the above sequence of random variables does not almost surely converge to $0$.
Is this argument correct? Are there more elegant arguments either to disprove or prove the almost sure convergence?
real-analysis probability-theory measure-theory proof-verification convergence
I have a sequence of random variables $X_i$ such that $P[X_n = 1 ] = frac1n$ and $P[X_n = 0 ] = 1 -frac1n$.
We can see that this sequence $X_i$ converges in probablity to the sequence $X = 0$ because $P[|X_n - 0| > epsilon] = P[X_i = 1] = frac1n $ and hence, $lim_n to infty P[|X_n - 0| > epsilon] = 0$
My attempt at almost sure convergence:
We have to prove/disprove that $P[lim_n to infty X_n = 0] = 1$. One way to look at this is: We have a sequence of random variables $X_n(omega)$ being generated by the Bernoulli distribution whose PMF is $(frac1n)^omega(fracn-1n)^1-omega$ where $omega$ can take values 0,1.
As $n to infty$, the chance of observing the 1's will reduce with n. However, we cannot for sure that we will always observe $X_n = 0$, no matter how large the n is. We can say, for sure, we will always observe $X_n = 0$ only if $n = infty$, otherwise there is always +ve chance that we can observe 1's. Hence the probability of the event $[lim_n to infty X_n = 0]$ is zero. Hence, the above sequence of random variables does not almost surely converge to $0$.
Is this argument correct? Are there more elegant arguments either to disprove or prove the almost sure convergence?
real-analysis probability-theory measure-theory proof-verification convergence
edited Aug 15 at 11:12
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BCLC
6,77522073
6,77522073
asked Aug 15 at 11:09
kasa
319114
319114
1
The proof is wrong since both almost sure divergence and almost sure convergence may occur. Additionally, the statement that $X_n = 0$ only if $n = infty$ is absurd since there is no $X_infty$ in the picture.
â Did
Aug 15 at 11:18
add a comment |Â
1
The proof is wrong since both almost sure divergence and almost sure convergence may occur. Additionally, the statement that $X_n = 0$ only if $n = infty$ is absurd since there is no $X_infty$ in the picture.
â Did
Aug 15 at 11:18
1
1
The proof is wrong since both almost sure divergence and almost sure convergence may occur. Additionally, the statement that $X_n = 0$ only if $n = infty$ is absurd since there is no $X_infty$ in the picture.
â Did
Aug 15 at 11:18
The proof is wrong since both almost sure divergence and almost sure convergence may occur. Additionally, the statement that $X_n = 0$ only if $n = infty$ is absurd since there is no $X_infty$ in the picture.
â Did
Aug 15 at 11:18
add a comment |Â
1 Answer
1
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up vote
1
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accepted
As already pointed out in the comments your argument is not valid. This sequence need not converge almost surely and, if $X_n$ is independent, then it does not converge almost surely. This is because $sum PX_n >frac 1 2 =sum frac 1 n =infty$. Apply Borel -Cantelli Lemma to conclude that $X_n$ converges to $0$ with probability $0$!.
Can you please explain in detail how the Borel-Cantelli lemma is used here?
â uniquesolution
Aug 15 at 11:59
If $A_n$ is an independent sequence of events such that $sum P(A_n) =infty$ then infinitely many of the events occur with probability $1$. This is the second part of Borel-Cantelli Lemma (the first part dealing with the case when the sum is finite). In our case this means that $X_n >frac 1 2$ for infinitely many values of $n$, with probability $1$.
â Kavi Rama Murthy
Aug 15 at 12:02
Thank - you . !
â uniquesolution
Aug 15 at 12:06
add a comment |Â
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
up vote
1
down vote
accepted
As already pointed out in the comments your argument is not valid. This sequence need not converge almost surely and, if $X_n$ is independent, then it does not converge almost surely. This is because $sum PX_n >frac 1 2 =sum frac 1 n =infty$. Apply Borel -Cantelli Lemma to conclude that $X_n$ converges to $0$ with probability $0$!.
Can you please explain in detail how the Borel-Cantelli lemma is used here?
â uniquesolution
Aug 15 at 11:59
If $A_n$ is an independent sequence of events such that $sum P(A_n) =infty$ then infinitely many of the events occur with probability $1$. This is the second part of Borel-Cantelli Lemma (the first part dealing with the case when the sum is finite). In our case this means that $X_n >frac 1 2$ for infinitely many values of $n$, with probability $1$.
â Kavi Rama Murthy
Aug 15 at 12:02
Thank - you . !
â uniquesolution
Aug 15 at 12:06
add a comment |Â
up vote
1
down vote
accepted
As already pointed out in the comments your argument is not valid. This sequence need not converge almost surely and, if $X_n$ is independent, then it does not converge almost surely. This is because $sum PX_n >frac 1 2 =sum frac 1 n =infty$. Apply Borel -Cantelli Lemma to conclude that $X_n$ converges to $0$ with probability $0$!.
Can you please explain in detail how the Borel-Cantelli lemma is used here?
â uniquesolution
Aug 15 at 11:59
If $A_n$ is an independent sequence of events such that $sum P(A_n) =infty$ then infinitely many of the events occur with probability $1$. This is the second part of Borel-Cantelli Lemma (the first part dealing with the case when the sum is finite). In our case this means that $X_n >frac 1 2$ for infinitely many values of $n$, with probability $1$.
â Kavi Rama Murthy
Aug 15 at 12:02
Thank - you . !
â uniquesolution
Aug 15 at 12:06
add a comment |Â
up vote
1
down vote
accepted
up vote
1
down vote
accepted
As already pointed out in the comments your argument is not valid. This sequence need not converge almost surely and, if $X_n$ is independent, then it does not converge almost surely. This is because $sum PX_n >frac 1 2 =sum frac 1 n =infty$. Apply Borel -Cantelli Lemma to conclude that $X_n$ converges to $0$ with probability $0$!.
As already pointed out in the comments your argument is not valid. This sequence need not converge almost surely and, if $X_n$ is independent, then it does not converge almost surely. This is because $sum PX_n >frac 1 2 =sum frac 1 n =infty$. Apply Borel -Cantelli Lemma to conclude that $X_n$ converges to $0$ with probability $0$!.
answered Aug 15 at 11:55
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
Kavi Rama Murthy
22.5k2933
22.5k2933
Can you please explain in detail how the Borel-Cantelli lemma is used here?
â uniquesolution
Aug 15 at 11:59
If $A_n$ is an independent sequence of events such that $sum P(A_n) =infty$ then infinitely many of the events occur with probability $1$. This is the second part of Borel-Cantelli Lemma (the first part dealing with the case when the sum is finite). In our case this means that $X_n >frac 1 2$ for infinitely many values of $n$, with probability $1$.
â Kavi Rama Murthy
Aug 15 at 12:02
Thank - you . !
â uniquesolution
Aug 15 at 12:06
add a comment |Â
Can you please explain in detail how the Borel-Cantelli lemma is used here?
â uniquesolution
Aug 15 at 11:59
If $A_n$ is an independent sequence of events such that $sum P(A_n) =infty$ then infinitely many of the events occur with probability $1$. This is the second part of Borel-Cantelli Lemma (the first part dealing with the case when the sum is finite). In our case this means that $X_n >frac 1 2$ for infinitely many values of $n$, with probability $1$.
â Kavi Rama Murthy
Aug 15 at 12:02
Thank - you . !
â uniquesolution
Aug 15 at 12:06
Can you please explain in detail how the Borel-Cantelli lemma is used here?
â uniquesolution
Aug 15 at 11:59
Can you please explain in detail how the Borel-Cantelli lemma is used here?
â uniquesolution
Aug 15 at 11:59
If $A_n$ is an independent sequence of events such that $sum P(A_n) =infty$ then infinitely many of the events occur with probability $1$. This is the second part of Borel-Cantelli Lemma (the first part dealing with the case when the sum is finite). In our case this means that $X_n >frac 1 2$ for infinitely many values of $n$, with probability $1$.
â Kavi Rama Murthy
Aug 15 at 12:02
If $A_n$ is an independent sequence of events such that $sum P(A_n) =infty$ then infinitely many of the events occur with probability $1$. This is the second part of Borel-Cantelli Lemma (the first part dealing with the case when the sum is finite). In our case this means that $X_n >frac 1 2$ for infinitely many values of $n$, with probability $1$.
â Kavi Rama Murthy
Aug 15 at 12:02
Thank - you . !
â uniquesolution
Aug 15 at 12:06
Thank - you . !
â uniquesolution
Aug 15 at 12:06
add a comment |Â
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1
The proof is wrong since both almost sure divergence and almost sure convergence may occur. Additionally, the statement that $X_n = 0$ only if $n = infty$ is absurd since there is no $X_infty$ in the picture.
â Did
Aug 15 at 11:18