Hello,

Question 1) is just the law of large numbers : Proof of the law of large numbers - Wikipedia, the free encyclopedia

Results 1 to 8 of 8

- April 3rd 2009, 10:39 AM #1

- Joined
- Apr 2009
- Posts
- 4

- April 3rd 2009, 11:04 AM #2
Hello,

Question 1) is just the law of large numbers : Proof of the law of large numbers - Wikipedia, the free encyclopedia

- April 3rd 2009, 11:16 AM #3

- Joined
- Apr 2009
- Posts
- 4

- April 3rd 2009, 11:29 AM #4
This is quite surprising that you don't understand the proof since it's just Chebyshev's inequality...

You can just say that by the law of large numbers, the probability goes to 1.

It's the exact result of the LLN (provided that all conditions are satisfied)

Or you can directly apply Chebyshev's inequality.

It depends on what you have been taught.

For question 2) : which method have you been taught for finding the joint pdf of two variables ?

- April 3rd 2009, 12:52 PM #5

- Joined
- Apr 2009
- Posts
- 4

- April 4th 2009, 09:44 AM #6
For question 2), this is how I've been taught. It's similar to yours, according to what you have said, but it's difficult for me to adapt it...

There is a formula that says :

X has a pdf f iff for any bounded and continuous function h,

Same goes for the density of a couple.

So here, we'll find the density of (U,V) :

Let h be a bounded and continuous function.

Note that since X and Y are independent, the pdf of (X,Y) is the product of the densities :

Now let the transformation :

(but actually you don't have to care about the (0,0) point)

The Jacobian matrix is :

The Jacobian of the transformation is thus :

But

And

Hence

And the Jacobian is finally :

I'm sure you need the Jacobian for your method... Can you actually finish it ? From here, it all depends on your "formula". So show me and I'll help you.

- April 4th 2009, 11:39 AM #7

- Joined
- Apr 2009
- Posts
- 4

- April 5th 2009, 01:36 AM #8
And so what's wrong ? Can't you finish it ?

The pdf is :

Since , this is :

And the Jacobian part is the inverse of , which is

So the pdf of (U,V) is :

which is a product of 2 functions, each depending on u or v, separately. This proves that U and V are independent.