A Strong Limit Theorem for Functions of Continuous Random Variables and an Extension of the Shannon‐McMillan Theorem
Gaorong Li, Shuang Chen, Sanying Feng · Journal of Applied Mathematics · 2008
By means of the notion of likelihood ratio, the limit properties of the sequences of arbitrary‐dependent continuous random variables are studied, and a kind of strong limit theorems represented by inequalities with random bounds for functions of continuous random variables is established. The Shannon‐McMillan theorem is extended to the case of arbitrary continuous information sources. In the proof, an analytic technique, the tools of Laplace transform, and moment generating functions to study the strong limit theorems are applied.