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A Conditional Law of Large Numbers

Oldrich Alfonso Vasicek
The Annals of Probability
Vol. 8, No. 1 (Feb., 1980), pp. 142-147
Stable URL: http://www.jstor.org/stable/2243065
Page Count: 6
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A Conditional Law of Large Numbers
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Abstract

It is shown that, when conditional on a set of given average values, the frequency distribution of a series of independent random variables with a common finite distribution converges in probability to the distribution which has the maximum relative entropy for the given mean values.

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