Let X_1,…,X_n be independently identically distributed random variables with EX=mu and VarX=sigma^2.

Juan Lowe

Juan Lowe

Answered question

2022-11-16

Expectation of an average-centralised sum
Let X 1 , , X n be independently identically distributed random variables with E X = μ and Var X = σ 2 . Let:
X ¯ n = 1 n k = 1 n X k ,
m n 2 = 1 n k = 1 n ( X k X ¯ n ) 2 .
Prove that E ( m n 2 ) = σ 2 n 1 n
This is a problem from Allan Gut's Probability - A Graduate Course, and after messing around with the sums for a while I have no idea what to do.

Answer & Explanation

partatjar6t9

partatjar6t9

Beginner2022-11-17Added 8 answers

Step 1
1. Observe that X k X n ¯ has the same distribution as X k X n ¯ (this is just a matter of permuting the involved random variables). As a consequence, m n 2 = E [ ( X n X n ¯ ) 2 ] = Var ( X n X n ¯ )
Step 2
2. Write X n X n ¯ = X n ( 1 1 / n ) + 1 n i = 1 n 1 X i and use the property Var ( i = 1 n Y i ) = i = 1 n Var ( Y i ) , valid for an independent collection ( Y i ) i = 1 n of random variables.

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