Homework 11

Problem 1
𝑑 𝑝
If 𝑋𝑛 → 𝑐, where c is a constant, prove that 𝑋𝑛 → 𝑐

Problem 2
𝐿𝑟 𝑝
If 𝑋𝑛 → 𝑋 for some 𝑟 ≥ 1, prove that 𝑋𝑛 → 𝑋

Problem 3
Consider a sequence 𝑋1 , 𝑋2 , 𝑋3 ... and random variable X, assume that 𝑋 and 𝑋𝑛 are non-negtive and
𝑑
integer-valued. Prove that 𝑋𝑛 → 𝑋 if and only if lim𝑛→∞ 𝑃𝑋𝑛 (𝐾) = 𝑃𝑋 (𝐾), 𝐾 = 1, 2, 3, ...
Hint: For a integer-valued discrete random variable X, for any 𝜖 ∈ (0, 1),𝑃𝑋 (𝑘) = 𝐹𝑋 (𝑘 + 𝜖) − 𝐹𝑋 (𝑘 − 𝜖), 𝑘 =
0, 1, 2, 3, ...

Problem 4
If 𝑋 follows a Bernoulli distribution with 𝑃 (𝑋 = 1) = 32 , Define a seq of R.V. 𝑋1 , ...𝑋𝑛 , ... on the sample
space

1
𝑛+1 if 𝑋 = 0
𝑋𝑛 = {
1 if 𝑋 = 1
1. Are 𝑋𝑖 independent to 𝑋𝑗 for any 𝑖, 𝑗 ∈ {1, 2, ...}, 𝑖 ≠ 𝑗 ?
𝑑
2. Prove 𝑋𝑛 → 𝑋

Problem 5
𝐸[(𝑋−𝑎)2 ]
1. For a R.V. 𝑋, prove: for any constant 𝑎, 𝑃 (|𝑋 − 𝑎|) > 𝜖) ≤ 𝜖2 .
𝑃
2. For a seq of R.V. 𝑋1 , 𝑋2 , ..., given lim𝑛→∞ 𝐸(𝑋𝑛 ) = 𝜇, and lim𝑛→∞ 𝑣𝑎𝑟(𝑋𝑛 ) = 0, prove 𝑋𝑛 → 𝜇