A Simple Non-Stationary Mean Ergodic Theorem, with Bonus Weak Law of Large Numbers

This brief pedagogical note re-proves a simple theorem on the convergence, in $L_2$ and in probability, of time averages of non-stationary time series to the mean of expectation values. The basic condition is that the sum of covariances grows sub-quadratically with the length of the time series. I m...

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Bibliographische Detailangaben

1. Verfasser:	Shalizi, Cosma Rohilla
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability Physics - Data Analysis, Statistics and Probability
Online-Zugang:	Volltext bestellen
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