Homework # 2

20.3
n n
Y 1/n 1X
log Yj = Xj EX1 a.s.
j=1
n j=1

Hence,
n
Y 1/n
lim Yj = eEX1 a.s.
n
j=1

20.7.
X1 + + Xn X1 + + Xn  X12 + + Xn2 1
=
X12 + + Xn2 n n
By the law of the large numbers,

X1 + + Xn
lim =1 a.s.
n n

X12 + + Xn2
2
lim = EX12 = V ar(X1 ) + EX1 = 4 a.s.
n n
Thus
X1 + + Xn 1
lim 2 2
= a.s.
n X + + Xn 4
1

21.2. We have
EX1 = 0, EX12 = 2

Notice that
n
X
Xj 
  n  n 1
j=1 1 X 1X 2
n = Xj X
Xn
n j=1 n j=1 j
Xj2
j=1

By the law of the large numbers,

n
1X 2
lim Xj = 2 a.s.
n n
j=1

By central limit theorem,

n
1 X d
Xj U N (0, 2)
n j=1

1
Therefore,
n
X
 Xj 
j=1 d 1 1
n n U N (0, )
X 2 2
Xj2
j=1

21.6. Let X and Z be independent Poisson random variable with means [] and
d
[], respectively. Then Y = X + Z . It is sufficient to show that

X + Z d
N (0, 1)

By Exercise 21.5,
X [] d
p N (0, 1)
[]
Therefore, r
X [] [] X [] d
= p N (0, 1)
[]
By the decomposition,

X + Z X [] Z ( [])
= +

all we need is to show that

Z ( []) P
0

In deed, by Chebyshev inequality
n Z ( [])  o 1 []

P  2 V ar(Z ) = 0 ( )

2


21.7. Let Xk be the i.i.d. random variables with common distribution Poisson (1).
We have EX1 = V ar(X1 ) = 1. By CLT,
n
X 
1 d
Xj n N (0, 1)
n j=1

In particular,
n n
( )
X  0
1 1 1
nX o Z
2
/2
P Xj n = P Xj n 0 ex dx = (n )
j=1
n j=1
2 2

2
 On the other hand,
n
X
Xj P oisson(n)
j=1

So
n n n n
nX oX nX o X nk
P Xj n = P Xj = k = en
j=1 j=1
k!
k=1 k=1

Hence,
n
X nk 1
lim e n
=
n k! 2
k=1

20.12*. Let Xk be independent copies of X. Inductively, one can show that

m m1 m
2  2X 2 
1 X 1 1 1 X d 1 d
Xk = Xk + Xk = (X + Y ) = X
m
2 k=1 2 2m1 k=1 2m1 2
k=2m1 +1

Take expectation on the both sides,

2m EX = EX m = 1, 2,

Consequently, EX = 0.
On the other hand, by CLT,
m
2
1 X d
Xk N (0, 2 )
m
2 k=1

So we have X N (0, 2 ).