A Note on the Borel-Cantelli Lemma

Narayanaswamy Balakrishnan, Alexei Stepanov

Published 2021-12-01, updated 2023-01-13Version 2

In this short note, we discuss the Barndorff-Nielsen lemma, which is a generalization of well-known Borel-Cantelli lemma. Although the result stated in the Barndorff-Nielsen lemma is correct, it does not follow from the argument proposed in the corresponding proof. In this note, we show this and offer an alternative proof of this lemma. We also propose a new generalization of Borel-Cantelli lemma.