The law of large numbers does not hold for cauchy


The law of large numbers does not hold for Cauchy distributed random variables. Let X1, X2,......., Xn be a sequence of independent identically distributed random variables with probability density functions fxn(x) = [π(1 + x2)]-1. Show that no finite constant m exists to which the sample means (X1 + ... + Xn)/n converge in probability.

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Basic Statistics: The law of large numbers does not hold for cauchy
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