Limit Laws of Erdos-Renyi-Shepp Type
Deheuvels, Paul ; Devroye, Luc
Ann. Probab., Tome 15 (1987) no. 4, p. 1363-1386 / Harvested from Project Euclid
Let $S_n = X_1 + \cdots + X_n$ be the $n$th partial sum of an i.i.d. sequence of random variables. We describe the limiting behavior of \begin{equation*}\begin{split}T_n = \max_{1\leq i\leq n}(S_{i+\kappa(i)} - S_i), \\ U_n = \max_{0\leq i\leq n-k}(S_{i+k} - S_i), \\ W_n = \max_{0\leq i\leq n-k} \max_{1\leq j\leq k}(S_{i+j} - S_i) \\ \end{split}\end{equation*} and $V_n = \max_{0\leq i\leq n-k} \min_{1\leq j\leq k}(k/j)(S_{i+j} - S_i),$ for $k = \kappa(n) = \lbrack c \log n\rbrack$, and where $c > 0$ is a given constant. We assume that the random variables $X_i$ are centered and have a finite moment generating function in a right neighborhood of zero, and obtain among other results the full form of the Erdos-Renyi (1970) and Shepp (1964) theorems. Our conditions extend those of Deheuvels, Devroye and Lynch (1986) to cover a larger class of distributions.
Publié le : 1987-10-14
Classification:  Erdos-Renyi-Shepp laws,  large deviations,  moving averages,  laws of large numbers,  law of the iterated logarithm,  60F15,  60F10
@article{1176991982,
     author = {Deheuvels, Paul and Devroye, Luc},
     title = {Limit Laws of Erdos-Renyi-Shepp Type},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1363-1386},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991982}
}
Deheuvels, Paul; Devroye, Luc. Limit Laws of Erdos-Renyi-Shepp Type. Ann. Probab., Tome 15 (1987) no. 4, pp.  1363-1386. http://gdmltest.u-ga.fr/item/1176991982/