ThmDex – An index of mathematical definitions, results, and conjectures.
I.I.D. real empirical distribution measure converges to a probability for a fixed Borel set
Formulation 0
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\Omega \to \mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3358: I.I.D. random collection
Let $B \subseteq \mathbb{R}$ be a D5113: Standard real Borel set.
Then \begin{equation} \lim_{N \to \infty} \frac{1}{N} \sum_{n = 1}^N I_{\{ X_n \in B \}} \overset{a.s.}{=} \mathbb{P}(X_1 \in B) \end{equation}
Formulation 1
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\Omega \to \mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3358: I.I.D. random collection
Let $B \subseteq \mathbb{R}$ be a D5113: Standard real Borel set.
Then \begin{equation} \mathbb{P} \left( \lim_{N \to \infty} \frac{1}{N} \sum_{n = 1}^N I_{\{ X_n \in B \}} = \mathbb{P}(X_1 \in B) \right) = 1 \end{equation}
Subresults
R4660: Real empirical probability distribution function converges pointwise to the true distribution function
Proofs
Proof 0
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\Omega \to \mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3358: I.I.D. random collection
Let $B \subseteq \mathbb{R}$ be a D5113: Standard real Borel set.
Since $\mathbb{E} I_{X_1 \in B} = \mathbb{P}(X_1 \in B) < \infty$, this result is a special case of R5399: Sample average of I.I.D. integrable random real numbers converges to expectation almost surely. $\square$