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Square root law Laws of large numbers
 

Summary: '
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Lecture 20
Square root law
Laws of large numbers
Back to the axioms
Random walk (RW)
Growth rates for RW
1
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Square root law
X1, . . . , Xn uncorrelated, with common mean and vari-
ance 2
Sn = X1 + . . . + Xn = n Xn
E{Sn} = n, SD(Sn) =

  

Source: Adler, Robert J. - Faculty of Industrial Engineering and Management, Technion, Israel Institute of Technology

 

Collections: Mathematics; Engineering