A Functional Version of the Birkhoff Ergodic Theorem for a Normal Integrand: A Variational Approach

Abstract

In this paper, we prove a new version of the Birkhoff ergodic theorem (BET) for random variables depending on a parameter (alias integrands). This involves variational convergences, namely epigraphical, hypographical and uniform convergence and requires a suitable definition of the conditional expectation of integrands. We also have to establish the measurability of the epigraphical lower and upper limits with respect to the $\sigma$-field of invariant subsets. From the main result, applications to uniform versions of the BET to sequences of random sets and to the strong consistency of estimators are briefly derived.

Date
Jun 10, 2002
Event
Séminaire de Statistique de l’ENSAE
Location
Malakoff, France
Raffaello Seri
Professor of Econometrics

My research interests include statistics, numerical analysis, operations research, psychology, economics and management.