I asked this question on Math Stack Exchange (here) but it did not generate much interest. Since it is a question from probability theory, perhaps the crowd on cross validated will be more interested...(maybe this is incorrect etiquette to post the same question twice, but I am interested in the answer...)
The following is from Durrett's Probability Theory and Examples question 2.2.1:
Let $X_{1}, X_{2}, \ldots$ be uncorrelated with $\mathbb{E} X_{i} = \mu_{i}$ and $\frac{Var X_{i}}{i} \to 0$ as $i\to \infty$. Let $S_{n} = X_{1}+X_{2} + \ldots + X_{n}$ and $\nu_{n} = \mathbb{E} S_{n}/n$. Then as $n\to \infty$, $S_{n}/n - \nu_{n} \to 0$ in $L^{2}$ and in probability.
It can be shown that \begin{align*} \mathbb{E}\left[\left(\frac{S_{n}}{n} -\nu_{n} \right)^{2} \right] = \frac{1}{n^{2}} \sum_{i=1}^{n} Var(X_{i}) \end{align*} Now I want to show that $\frac{1}{n^{2}} \sum_{i=1}^{n} Var(X_{i}) \to 0$. My approach to this is for any fixed $\varepsilon>0$ I can find $N$ such that for all $i\geq N$ I have $Var(X_{i})/i < \varepsilon$. Now, if I knew $Var (X_{i})/i \leq M<\infty$ for $i=1, \ldots N$ then I can have \begin{align*} \frac{1}{n^{2}} \sum_{i=1}^{n} Var(X_{i}) &\leq \frac{1}{n} \sum_{i=1}^{n} \frac{Var(X_{i})}{i}\\ &=\frac{1}{n} \sum_{i=1}^{N} \frac{Var(X_{i})}{i} + \frac{1}{n} \sum_{i=N+1}^{n} \frac{Var(X_{i})}{i}\\ &\leq \frac{NM}{n} + \frac{(n-N-1)\varepsilon}{n} \end{align*} so that the result follows by taking $n\to \infty$ and noting that $\varepsilon$ is arbitrary. The issue is I don't know that there exists an $M$ such that $Var (X_{i})/i \leq M<\infty$ for $i=1, \ldots N$...
Presumably we can have $Var (X_{i})/i =\infty$? Is there anyway to prove that this is not the case? Or is my approach to the proof incorrect? Any help is appreciated.
Some further comments
- I understand that any convergent sequence of real numbers is bounded. But the proof that any convergent sequence of real numbers is bounded relies on the fact that the first $N$ members of the sequence are finite (which is fine since they are real numbers). My problem is that I do not know if $\mathbb{E} X_{i}^{2} <\infty$ so I do not know if $Var(X_{i})/i < \infty$. I feel there is nothing restricting $Var(X_{i})/i$ to be less than $\infty$.