Strong Law of Large Numbers

Theorem

Let $P$ be a population.

Let $P$ have mean $\mu$ and finite variance.

Let $\sequence {X_n}_{n \mathop \ge 1}$ be a sequence of random variables forming a random sample from $P$.

Let:

$\ds {\overline X}_n = \frac 1 n \sum_{i \mathop = 1}^n X_i$

Then:

$\ds {\overline X}_n \xrightarrow {\text {a.s.} } \mu$

where $\xrightarrow {\text {a.s.} }$ denotes almost sure convergence.

Proof

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Sources

• 2021: Richard Earl and James Nicholson: The Concise Oxford Dictionary of Mathematics (6th ed.) ... (previous) ... (next): strong law of large numbers