Oct 12 2022
Anyone who has taken an introductory course in probability, or even SPC, has heard of the law of large numbers. It’s a powerful result from probability theory, and, perhaps, the most widely used. Wikipedia starts the article on this topic with a statement that is free of any caveat or restrictions:
In probability theory, the law of large numbers is a theorem that describes the result of performing the same experiment a large number of times. According to the law, the average of the results obtained from a large number of trials should be close to the expected value and tends to become closer to the expected value as more trials are performed.
This is how the literature describes it and most professionals understand it. Buried in the fine print within the Wikipedia article, however, you find conditions for this law to apply. First, we discuss the differences between sample averages and expected values, both of which we often call “mean.” Then we consider applications of the law of large numbers in cases ranging from SPC to statistical physics. Finally, we zoom in on a simple case, the Cauchy distribution. It easily emerges from experimental data, and the Law of Large Numbers does not apply to it.