Tuesday, October 30, 2018

convergence divergence - Show that the sequence (Tn)ngeq1 converges in probability to the constant 2p



Let Xn ~ Bernoulli(p). Let Yn=Xn+Xn+1.
Let Tn=1nni=1Yi.
I want to show that the sequence (Tn)n1 converges in probability to the constant 2p.



I found that E[Tn]=2p and that Var[Tn]=2p(1p)2n1n2.



My definition of convergence in probability is the following:
ϵ>0 P(|Tn2p|>ϵ)0




I can also use the following criterion:



Convergence in probability iff limnE[|Tn2p||Tn2p|+1]=0



To me using the criterion here seems smart because I already know that the expected value is 2p, but I am not sure how to proceed. Any hints?


Answer



Claim. If μn=E(Tn)μ and σ2n=Var(Tn)0 then Tnμ in L2 and, hence, in probability too.



Proof. We have E(|Tnμ|2)=E(|Tnμn|2)+2(μnμ)E(Tnμn)+(μnμ)20. Q.E.D.



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