Mathematics Asked on November 19, 2021
$S_{n}$ follows Binomial(n,p).
$X_{n}$ is the sample proportion which is $X_{n} = S_{n}/n$.
How can we prove $lim_{n to +infty} M_n{(t)} = e^{pt}$ ?
What I found is
begin{align}
lim_{n to +infty} M_n{(t)} &=lim_{n to +infty}(pe^{t/n} + q)^n \
&=lim_{n to +infty}(pe^{t/n} + 1-p)^n\
&=lim_{n to +infty}[1 + p(e^{t/n}-1)^n]\
&=lim_{n to +infty}[1+p(1+t/n + (t/n)^2/2! + cdots -1)]^n\
&=lim_{n to +infty}(1+pt/n)^n\
&=e^{pt}
end{align}
But how can we know
$$lim_{n to +infty}[1+p(1+t/n + (t/n)^2/2! + … -1)]^n=
lim_{n to +infty}(1+pt/n)^n?$$
$frac {e^{x}-1} x to 1$ as $x to 0$. Given $epsilon >0$ there exist $delta >0$ such that $x leq (e^{x}-1) leq (1+epsilon) x$ if $0 leq x <delta$. This gives $(frac t n) leq (e^{t/n}-1)leq (1+epsilon) (frac t n)$ for $n$ sufficiently large and $t geq 0$. Can you finish the argument now?
Answered by Kavi Rama Murthy on November 19, 2021
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