Skip to content

Question

Math 6040 • Probability

Fall 2024 • Question 3

Let \((a_{n})_{n \ge 1}\) be a nondecreasing sequence of positive numbers such that \[ \lim _{n \to \infty }\frac {a_{n}^{2}}{\sum _{k=1}^{n}a_{k}^{2}} = 0. \]

Let \((X_{n})_{n \ge 1}\) be a sequence of i.i.d. random variables with mean 0 and variance 1. Prove that \[ \frac {\sum _{k=1}^{n} a_{k}X_{k}}{\sqrt {\sum _{k=1}^{n}a_{k}^{2}}} \]

converges weakly to the standard normal distribution.

Raw LaTeX

Let \((a_{n})_{n \ge 1}\) be a nondecreasing sequence of positive numbers such that
\[
\lim_{n \to \infty}\frac{a_{n}^{2}}{\sum_{k=1}^{n}a_{k}^{2}} = 0.
\]


Let \((X_{n})_{n \ge 1}\) be a sequence of i.i.d. random variables with mean 0 and variance 1. Prove
that
\[
\frac{\sum_{k=1}^{n} a_{k}X_{k}}{\sqrt{\sum_{k=1}^{n}a_{k}^{2}}}
\]


converges weakly to the standard normal distribution.