Chebyshev’s inequality, statement and interpretation of (weak) law of large numbers and strong law

of large numbers, Central Limit theorem for independent and identically distributed random
variables with finite variance, Markov Chains, Chapman-Kolmogorov equations, classification of
states.
[2]: Chapter 4 (Section 4.4).
[3]: Chapter 2 (Section 2.7), Chapter 4 (Sections 4.1-4.3).
REFERENCES:
1. Robert V. Hogg, Joseph W. McKean and Allen T. Craig, Introduction to
Mathematical Statistics, Pearson Education, Asia, 2007.
2. Irwin Miller and Marylees Miller, John E. Freund’s Mathematical Statistics
with Applications (7th Edition), Pearson Education, Asia, 2006.
3. Sheldon Ross, Introduction to Probability Models (9th Edition), Academic
Press, Indian Reprint, 2007.
 Remark: The importance of Markov’s and Chebyshev’s inequalities is that they
enable us to derive bounds on probabilities when only the mean, or both the mean
and the variance, of the probability distribution are known.
The following theorem, known as the strong law of large numbers, is probably
the most well-known result in probability theory. It states that the average of
a sequence of independent random variables having the same distribution will,
with probability 1, converge to the mean of that distribution.

Remark-1: The law of large numbers has a very central role in probability and statistics.
It states that if you repeat an experiment independently a large number of times and
average the result, what you obtain should be close to the expected value.
Remark-2: Weak Law of Large Number: It is same as Strong Law of Large
Number except convergence in probability with 1 replaced by convergence with
probability. The difference between them is mostly theoretical.
Remark-3: Convergence with Probability 1 and Convergence in Probability
(Definition)

Remark4: Proof of these two theorem is bit technical which required enough
knowledge of advanced analysis. So avoid the proof. You understand the
concepts only.