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Cesaro Means.

This document proves the Cesaro means theorem, which states that if a sequence an converges to a limit a, then the sequence of averages bn also converges to a. The proof shows that for any epsilon greater than 0, there exists an N such that for all n greater than N, the difference between bn and a is less than epsilon. It does this by splitting the average bn into two parts, one involving terms from 1 to N and one from N+1 to n. It then uses the fact that an converges to a to bound each part separately and show their sum is less than epsilon.

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Juan Carlos Morales Parra
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22 views3 pages

Cesaro Means.

This document proves the Cesaro means theorem, which states that if a sequence an converges to a limit a, then the sequence of averages bn also converges to a. The proof shows that for any epsilon greater than 0, there exists an N such that for all n greater than N, the difference between bn and a is less than epsilon. It does this by splitting the average bn into two parts, one involving terms from 1 to N and one from N+1 to n. It then uses the fact that an converges to a to bound each part separately and show their sum is less than epsilon.

Uploaded by

Juan Carlos Morales Parra
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Proof of Cesaro Means

In order to show that our alternative definition of entropy rate:





H (X) = lim H Xn | X1 , . . . , Xn1
n

is equivalent to the canonical definition


1
H(X1 , . . . , Xn )
n n

H(X) = lim

when the stochastic process is stationary, we used the following theorem


Theorem Cesaro Means:

Let an a, let bn = n1 ni=1 ai , then
lim bn = a.

Proof Recall the meaning of limn bn = a:


For every > 0 there exists a n such that, for every n > nd elta, bn a < .
Now, since limn an = a, we know that , n such that n > n , |an a| <
.
Choose = 2 .
Fix, , determine n , let n >> n , and look at bn a.


 n 




 1
ai a
|bn a| = n


i=1


 n 


n 
 1
= n
ai a 

n

 i=1

n



 1

= n
na +
ai 


i=1


n


 1 

= n
(ai a)


i=1

Now divide the sum on the right hand side into two parts: the first is the
sum over the indexes between 1 and n , the second is the over the remaining
terms


n
1 



(ai a)
|bn a| = 
n

 i=1

n
1 




(ai a)
(1)
n

 i=1

n
1 



(2)
+
(ai a)
n

i=n +1

We are now going to bound the two sums (1) and (2).
First we bound (1)
 n

n

1 

1


(ai a)
|ai a|

n

n
i=1
i=1


1
n

max |aj a|
n i=1 j=1


1
1
= max |aj a|
j=1
n i=1
n
n
= max |aj a|
j=1
n

n

and, if we pick n satisfying



|aj a|
n maxnj=1
n>
,

then sum (1) satisfies

n





1

(ai a) <


n
i=1

Now we bound (2) using a similar trick




n
n
1 

1 


(ai a)
|ai a|

n

n
i=n +1
i=n +1


(3)
(4)

n
1 
n

max |ai a|
n i=n +1 i=n +1


n
1 
1
= max |ai a|
i=n +1
n i=n +1
n

n n
n
= max |ai a|
i=n +1
n
n
max |ai a|
i=n +1

(5)

where Inequality 5 is a consequence of how we selected n .


We have therefore shown that, if we fix , let = /2, determine n , there
n maxn |aj a|
such that, for all n > n , |bn a| < ;
exists a n =  j=1

In other words, we have shown that limn bn = a.

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