Some results on two-sided LIL behavior
Einmahl, Uwe ; Li, Deli
Ann. Probab., Tome 33 (2005) no. 1, p. 1601-1624 / Harvested from Project Euclid
Let {X,Xn;n≥1} be a sequence of i.i.d. mean-zero random variables, and let Sn=∑i=1nXi,n≥1. We establish necessary and sufficient conditions for having with probability 1, 0n→∞|Sn|/ $\sqrt{nh(n)}$ <∞, where h is from a suitable subclass of the positive, nondecreasing slowly varying functions. Specializing our result to h(n)=(loglogn)p, where p>1 and to h(n)=(logn)r, r>0, we obtain analogues of the Hartman–Wintner LIL in the infinite variance case. Our proof is based on a general result dealing with LIL behavior of the normalized sums {Sn/cn;n≥1}, where cn is a sufficiently regular normalizing sequence.
Publié le : 2005-07-14
Classification:  Hartman–Wintner LIL,  law of the iterated logarithm,  super-slow variation,  two-sided LIL behavior,  sums of i.i.d. random variables,  cluster sets,  60F15,  60G50
@article{1120224592,
     author = {Einmahl, Uwe and Li, Deli},
     title = {Some results on two-sided LIL behavior},
     journal = {Ann. Probab.},
     volume = {33},
     number = {1},
     year = {2005},
     pages = { 1601-1624},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1120224592}
}
Einmahl, Uwe; Li, Deli. Some results on two-sided LIL behavior. Ann. Probab., Tome 33 (2005) no. 1, pp.  1601-1624. http://gdmltest.u-ga.fr/item/1120224592/