Let X1, X2,... be a sequence of i.i.d. random variables
Chapter 6, Problem 2(choose chapter or problem)
Let X1, X2,... be a sequence of i.i.d. random variables having the normal distribution with mean and variance 2. Let Xn = 1 n n i=1 Xi be the sample mean of the first n random variables in the sequence. Show that Pr(|Xn | c) converges to 1 as n . Hint: Write the probability in terms of the standard normal c.d.f.and use what you know about this c.d.f.
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