For each of the following sequences, determine the value to which it converges in probability.

Question

(a) Let X1,X2,… be independent continuous random variables, each uniformly distributed between −1 and 1.

Let Ui=X1+X2+⋯+Xii,i=1,2,….
What value does the sequence Ui converge to in probability?

- unanswered
Let Wi=max(X1,X2,…,Xi),i=1,2,….
What value does the sequence Wi converge to in probability?

- unanswered
Let Vi=X1⋅X2⋅⋯⋅Xi,i=1,2,….
What value does the sequence Vi converge to in probability?

- unanswered
(b) Let X1,X2,… be independent identically distributed random variables with E[Xi]=2 and var(Xi)=9, and let Yi=Xi/2i.

What value does the sequence Yi converge to in probability?

- unanswered
Let An=1n∑i=1nYi. What value does the sequence An converge to in probability?

- unanswered
Let Zi=13Xi+23Xi+1 for i=1,2,…, and let Mn=1n∑i=1nZi for n=1,2,….
What value does the sequence Mn converge to in probability?

- unanswe

Answer 1

13. Exercise: Convergence in probability:

a) Suppose that Xn is an exponential random variable with parameter lambda = n. Does the sequence {Xn} converge in probability?

b) Suppose that Xn is an exponential random variable with parameter lambda = 1/n. Does the sequence {Xn} converge in probability?

c) Suppose that the random variable in the sequence {Xn} are independent, and that the sequence converges to some number a, in probability.
Let {Yn} be another sequence of random variables that are dependent, but where each Yn has the same distribution (CDF) as Xn. Is it necessarily true that the sequence {Yn} converges to a in probability?

Answer 2

0
999
0.25
1
0
0
0
2