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February, 1980 A Conditional Law of Large Numbers
Oldrich Alfonso Vasicek
Ann. Probab. 8(1): 142-147 (February, 1980). DOI: 10.1214/aop/1176994830


It is shown that, when conditional on a set of given average values, the frequency distribution of a series of independent random variables with a common finite distribution converges in probability to the distribution which has the maximum relative entropy for the given mean values.


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Oldrich Alfonso Vasicek. "A Conditional Law of Large Numbers." Ann. Probab. 8 (1) 142 - 147, February, 1980.


Published: February, 1980
First available in Project Euclid: 19 April 2007

zbMATH: 0426.60019
MathSciNet: MR556420
Digital Object Identifier: 10.1214/aop/1176994830

Primary: 60F05
Secondary: 60F99 , 82A05

Keywords: conditional convergence , Entropy , laws of large numbers , limit theorems , maximum entropy principle

Rights: Copyright © 1980 Institute of Mathematical Statistics

Vol.8 • No. 1 • February, 1980
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