Laws of Large Numbers for Weighted Sums of Independent Random Variables: A Game of Mass

Luca Avena and Conrado Costa ()
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Luca Avena: Università degli Studi di Firenze
Conrado Costa: Durham University, Upper Mountjoy Campus

Journal of Theoretical Probability, 2024, vol. 37, issue 1, 81-120

Abstract: Abstract We consider weighted sums of independent random variables regulated by an increment sequence and provide operative conditions that ensure a strong law of large numbers for such sums in both the centred and non-centred case. The existing criteria for the strong law are either implicit or based on restrictions on the increment sequence. In our setup we allow for an arbitrary sequence of increments, possibly random, provided the random variables regulated by such increments satisfy some mild concentration conditions. In the non-centred case, convergence can be translated into the behaviour of a deterministic sequence and it becomes a game of mass when the expectation of the random variables is a function of the increment sizes. We identify various classes of increments and illustrate them with a variety of concrete examples.

Keywords: Law of large numbers; Weighted sums of independent random variables; Toeplitz matrices; 60G50; 60F15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-023-01296-z

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