Definition
Law of Large Number
The Law of Large Numbers states that the sample mean
will be - with high probability - very close to the expectation of the underlying distribution. Let
be a sequence of identically distributed random variables with finite variance: where
is the probability measure. Denote the sample mean of the first random variables by , then: In other words, the sample mean of an identically distributed random variable with finite variance converges in probability to the mean
.
