IEEE Transactions on Automatic Control, Vol.45, No.11, 2117-2122, 2000
Strong laws of large numbers under weak assumptions with application
The employment of "strong laws of large numbers" is instrumental to the analysis of system estimation and identification strategies. However, the vast bulk of such laws, as presented in the wider literature, assume independence or at least uncorrelatedness of random components, and these assumptions are quite restrictive from an engineering point of view. By way of contrast, this paper shows how to establish strong laws for possibly nonstationary random processes with very general dependence structure. A brief example is provided that illustrates the utility of the strong law of large numbers presented.