We establish very general one-sided results on the lim sup
behavior of increments of suitably normalized partial sums of i.i.d. random
variables. Our main results apply to arbitrary nondegenerate positive random
variables which need not have any finite moments. As a corollary we can show
that such results also hold for not necessarily positive random variables whose
negative parts have finite moment-generating functions.
Publié le : 1996-07-14
Classification:
Universal law of the iterated logarithm,
quantile transformation,
maximal inequalities,
increments of partial sums,
60F15,
60E07
@article{1065725186,
author = {Einmahl, Uwe and Mason, David M.},
title = {Some universal results on the behavior of increments of partial
sums},
journal = {Ann. Probab.},
volume = {24},
number = {2},
year = {1996},
pages = { 1388-1407},
language = {en},
url = {http://dml.mathdoc.fr/item/1065725186}
}
Einmahl, Uwe; Mason, David M. Some universal results on the behavior of increments of partial
sums. Ann. Probab., Tome 24 (1996) no. 2, pp. 1388-1407. http://gdmltest.u-ga.fr/item/1065725186/