I am trying to show for $X_n$ iid st. $E|X|^q < \infty$ that
$$ \frac{1}{n} \sum^n (X_i - \bar{X})^q \to E((X-EX)^q) $$ in probability.
I used the following approach: We note
- $ \frac{1}{n} \sum_{i=1}^n X_i \to EX$ in prob. by the WLLN, i.e., $\bar{X}_n \to EX$ in probability
- $ Y_i := (X_i - EX)^q $ are iid
i.e. we use Slutsky on $\frac{1}{n} \sum^n (X_i - \bar{X})^q $ to obtain iid random variables to then use WLLN as per below:
$$ \frac{1}{n} \sum_{i=1}^n (X_i - \bar{X})^q \quad \xrightarrow{\text{Slutsky}} \quad \frac{1}{n} \sum^n (X_i - EX)^q \quad\xrightarrow{\text{WLLN}} \quad E(X-EX)^q \>. $$
Now, I realised that, of course, once I applied Slutsky I have taken $ n \to \infty $ so I cant really take the last step via the WLLN. Can somebody help me fix this proof ?
homeworktag. Like on math.SE, we give hints for homework and (usually) full solutions otherwise. If it's not homework, just say so. Thank you very much for showing your work and thought process so far! Cheers. :) – cardinal Jan 31 '12 at 1:05