The Finite Mean LIL Bounds are Sharp
Klass, Michael J.
Ann. Probab., Tome 12 (1984) no. 4, p. 907-911 / Harvested from Project Euclid
Let $X, X_1, X_2, \cdots$ be i.i.d. nonconstant mean zero random variables and put $S_n = X_1 + \cdots + X_n$. Let $K(y) > 0$ satisfy $yE\{|X/K(y)|^2 \wedge |X/K(y)|\} = 1$ (for $y > 0$). Then let $a_n = (\log \log n)K(n/\log \log n)$ and $L = \lim \sup_{n\rightarrow\infty}S_n/a_n.$ It is known that $L$ is finite iff $P(X_n > a_n \text{i.o.}) = 0$. When $L < \infty$, it is also known that $1 \leq L \leq 1.5$ and that it is possible for $L$ to equal one. In this paper we construct an example for which $L = 1.5$.
Publié le : 1984-08-14
Classification:  Generalized or universal law of the iterated logarithm,  sums of i.i.d. random variables,  60F15,  60G50
@article{1176993240,
     author = {Klass, Michael J.},
     title = {The Finite Mean LIL Bounds are Sharp},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 907-911},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993240}
}
Klass, Michael J. The Finite Mean LIL Bounds are Sharp. Ann. Probab., Tome 12 (1984) no. 4, pp.  907-911. http://gdmltest.u-ga.fr/item/1176993240/