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Bienaymé's identity

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In probability theory, the general[1] form of Bienaymé's identity states that

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This can be simplified if are pairwise independent or just uncorrelated, integrable random variables, each with finite second moment.[2] This simplification gives:

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The above expression is sometimes referred to as Bienaymé's formula. Bienaymé's identity may be used in proving certain variants of the law of large numbers.[3]

Estimated variance of the cumulative sum of iid normally distributed random variables (which could represent a gaussian random walk approximating a Wiener process). The sample variance is computed over 300 realizations of the corresponding random process.

See also

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References

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  1. ^ Klenke, Achim (2013). Wahrscheinlichkeitstheorie. p. 106. doi:10.1007/978-3-642-36018-3.
  2. ^ Loève, Michel (1977). Probability Theory I. Springer. p. 246. ISBN 3-540-90210-4.
  3. ^ Itô, Kiyosi (1984). Introduction to Probability Theory. Cambridge University Press. p. 37. ISBN 0 521 26960 1.