Skip to content

Geometric mean of many uniforms

Question

Let X1,X2,…X_1,X_2,\dots be i.i.d. Unif(0,1)\text{Unif}(0,1) and set Yn=(∏k=1nXk)1/nY_n=\left(\prod_{k=1}^n X_k\right)^{1/n}. The sequence YnY_n converges almost surely to a constant of the form eae^a. What is aa?

Short answer

−1-1. Taking logs, ln⁡Yn\ln Y_n is the average of ln⁡Xk\ln X_k. Since −ln⁡Xk∼Exp(1)-\ln X_k\sim\text{Exp}(1), E[ln⁡Xk]=−1\mathbb{E}[\ln X_k]=-1, and the strong law of large numbers gives ln⁡Yn→−1\ln Y_n\to-1, so Yn→e−1Y_n\to e^{-1}.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

See the hint and the full worked solution in the question bank (free account).

Open the worked solution

Lessons behind this question

Start with a free lesson: Normal Distribution is part of a free topic. Create a free account, no card needed, to read it in full with worked solutions.

Read it free