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Russ Woodroofe
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I'm fond of the following false proof of the Strong Law of Large Numbers. Let $X$ be a random variable with expected value $\mu$ and variance $\sigma^2$, and let $X_1, X_2, \dots$ be i.i.d. copies of $X$. Then $$\operatorname{Var} ( \frac{1}{n} \sum_{i=1}^n X_i ) = \frac{1}{n^2} \cdot n \sigma^2 = \frac{\sigma^2}{n} \rightarrow 0 \textrm{ as } n\rightarrow\infty $$ and since a random variable with variance 0 takes on a single value with probability 1, we must have $$\lim_{n\rightarrow\infty} \frac{1}{n} \sum_{i=1}^n X_i = \mu \textrm{ almost surely.}$$ (It's a memorable heuristic reason to tell undergraduate probability students, even if not a true argument.)

Russ Woodroofe
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