A Universal Chung-Type Law of the Iterated Logarithm
Einmahl, Uwe ; Mason, David M.
Ann. Probab., Tome 22 (1994) no. 4, p. 1803-1825 / Harvested from Project Euclid
Let $X_1, X_2,\ldots$, be a sequence of independent and identically distributed random variables. We find sequences of norming and centering constants $\alpha_n$ and $\beta_n$ such that a universal Chung-type law of the iterated logarithm holds, namely, $\lim \inf_{n\rightarrow \infty} \max_{1\leq k \leq n}|S_k - k\beta_n|/\alpha_n < \infty$ almost surely, where $S_k$ denotes the sum of the first $k$ of $X_1, X_2,\ldots, k \geq 1$. If the underlying distribution function is in the Feller class, we show that this $\lim \inf$ is strictly positive with probability 1.
Publié le : 1994-10-14
Classification:  Law of the iterated logarithm,  Feller class,  quantile function,  60F15,  60E07
@article{1176988484,
     author = {Einmahl, Uwe and Mason, David M.},
     title = {A Universal Chung-Type Law of the Iterated Logarithm},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 1803-1825},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988484}
}
Einmahl, Uwe; Mason, David M. A Universal Chung-Type Law of the Iterated Logarithm. Ann. Probab., Tome 22 (1994) no. 4, pp.  1803-1825. http://gdmltest.u-ga.fr/item/1176988484/