Variance limit of an average of grouped products
Question
Let be i.i.d. with mean , variance , and finite third and fourth moments. Define What is ? Answer if the limit does not exist.
Short answer
. The bracketed terms use disjoint blocks of the s, so they are i.i.d. Their variance is finite because it involves only moments up to order four, which are finite. Hence is that variance divided by , which tends to .
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