Precise asymptotics in the law of the iterated logarithm

Authors
Citation
A. Gut et A. Spataru, Precise asymptotics in the law of the iterated logarithm, ANN PROBAB, 28(4), 2000, pp. 1870-1883
Citations number
16
Categorie Soggetti
Mathematics
Journal title
ANNALS OF PROBABILITY
ISSN journal
00911798 → ACNP
Volume
28
Issue
4
Year of publication
2000
Pages
1870 - 1883
Database
ISI
SICI code
0091-1798(200010)28:4<1870:PAITLO>2.0.ZU;2-I
Abstract
Let X, X-1, X-2,... be i.i.d. random variables with mean 0 and positive, fi nite variance sigma (2), and set S-n = X-1 + ... + X-n, n greater than or e qual to 1. Continuing earlier work related to strong laws, we prove the fol lowing analogs for the law of the iterated logarithm: lim(epsilon down arrow sigma root2) root epsilon (2)-2 sigma (2) Sigma (n g reater than or equal to3) 1/n P(\S-n\ greater than or equal to epsilon root n log log n + a(n)) = sigma root2 whenever a(n) = O(rootn(log log n)(-gamma)) for some gamma greater than or equal to 1/2 (assuming slightly more than finite variance), and lim(epsilon down arrow0)epsilon (2) Sigma (n greater than or equal to3) 1/n log n P(\S-n\ greater than or equal to epsilon rootn log log n) = sigma (2 ).