A strong law of large numbers for independent random variables under non-additive probabilities

Ning Zhang and Yuting Lan

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 21, 5252-5272

Abstract: Under non‐additive probabilities, cluster points of the empirical average have been proved to quasi-surely fall into the interval constructed by either the lower and upper expectations or the lower and upper Choquet expectations. In this paper, based on the initiated notion of independence, we obtain a different Marcinkiewicz-Zygmund type strong law of large numbers. Then the Kolmogorov type strong law of large numbers can be derived from it directly, stating that the closed interval between the lower and upper expectations is the smallest one that covers cluster points of the empirical average quasi-surely.

Date: 2020
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DOI: 10.1080/03610926.2019.1615508

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