Exact Convergence Rate in the Limit Theorems of Erdos-Renyi and Shepp
Deheuvels, Paul ; Devroye, Luc ; Lynch, James
Ann. Probab., Tome 14 (1986) no. 4, p. 209-223 / Harvested from Project Euclid
The original Erdos-Renyi theorem states that $U_n/(\alpha k) \rightarrow 1$ almost surely for a large class of distributions, where $U_n = \sup_{0\leq i \leq n - k} (S_{i+k} - S_i), S_i = X_1 + \cdots + X_i$ is a partial sum of i.i.d. random variables, $k = \kappa(n) = \lbrack c \log n\rbrack, c > 0$, and $\alpha > 0$ is a number depending only upon $c$ and the distribution of $X_1$. We prove that the $\lim \sup$ and the $\lim inf$ of $(U_n - \alpha k)/\log k$ are almost surely equal to $(2t^\ast)^{-1}$ and $-(2t^\ast)^{-1}$, respectively, where $t^\ast$ is another positive number depending only upon $c$ and the distribution of $X_1$. The same limits are obtained for the random variable $T_n = \sup_{1\leq i \leq n}(S_{i+\kappa(i)} - S_i)$ studied by Shepp.
Publié le : 1986-01-14
Classification:  Erdos-Renyi laws,  large deviations,  moving averages,  laws of large numbers,  law of the iterated logarithm,  60F15,  60F10
@article{1176992623,
     author = {Deheuvels, Paul and Devroye, Luc and Lynch, James},
     title = {Exact Convergence Rate in the Limit Theorems of Erdos-Renyi and Shepp},
     journal = {Ann. Probab.},
     volume = {14},
     number = {4},
     year = {1986},
     pages = { 209-223},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992623}
}
Deheuvels, Paul; Devroye, Luc; Lynch, James. Exact Convergence Rate in the Limit Theorems of Erdos-Renyi and Shepp. Ann. Probab., Tome 14 (1986) no. 4, pp.  209-223. http://gdmltest.u-ga.fr/item/1176992623/