Let $X_1, X_2, \dots, X_n$ be identically distributed but not necessarily independent random variables with $E|X_i|^{\alpha} < \infty, \alpha >1$.
In part a) we are required to show that for $\lambda >0$:
$\max_{1 \leq i \leq n} |X_i|^{\alpha} \leq \lambda^{\alpha} + \sum_{i=1}^{n} |X_i|^{\alpha} I(|X_i|>\lambda).$
This bit is not a problem. However I am stuck showing the next part:
b) Hence, show that $n^{-1}E \left(\max_{1 \leq i \leq n} |X_i|^{\alpha}\right) \rightarrow 0$, as $n \rightarrow \infty$.
My working so far:
\begin{align*} n^{-1}E \left(\max_{1 \leq i \leq n} |X_i|^{\alpha}\right) & \leq n^{-1}E \left( \lambda^{\alpha} + \sum_{i=1}^{n} |X_i|^{\alpha} I(|X_i|>\lambda) \right) \\ & = \frac{\lambda^{\alpha}}{n} + \frac{E \sum_{i=1}^{n} |X_i|^{\alpha}I(|X_i|>\lambda)}{n} \\ &= \frac{\lambda^{\alpha}}{n} + \frac{ \sum_{i=1}^{n} E(|X_i|^{\alpha}I(|X_i|>\lambda))}{n} \\ &= \frac{\lambda^{\alpha}}{n} + \frac{ \sum_{i=1}^{n} E(|X_1|^{\alpha}I(|X_1|>\lambda))}{n} \quad \text{(identically distributed)}\\ &= \frac{\lambda^{\alpha}}{n} + \frac{ \sum_{i=1}^{n} \beta}{n} \quad \text{for some finite $\beta$} \\ &= \frac{\lambda^{\alpha}}{n} + \beta \end{align*}
Which clearly doesn't go to 0. Can anyone help me spot any errors or provide some insight?
PS this question is for self study - thanks!
