General One-Sided Laws of the Iterated Logarithm
Pruitt, William E.
Ann. Probab., Tome 9 (1981) no. 6, p. 1-48 / Harvested from Project Euclid
Let $\{X_i\}$ be a sequence of independent, identically distributed nondegenerate random variables and $S_n = \sum^n_{i = 1}X_i$. We consider the question for various centering sequences $\{\alpha_n\}$: when is it possible to find a positive, monotone sequence $\{\beta_n\}$ such that $\lim \sup \beta^{-1}_n (S_n - \alpha_n) = c$ a.s., $c$ a finite nonzero constant? If $\alpha_n = \operatorname{med} S_n$, we obtain a necessary and sufficient condition for this. An important corollary is a one-sided version of the Hartman-Wintner law of the iterated logarithm: if $E(X^+)^2 < \infty$, then it is always possible to find such a norming sequence. Explicit norming sequences are given which are easy to obtain. Necessary and sufficient conditions are also given for being able to find a norming sequence $\{\beta_n\}$ for the two-sided problem $(\lim \sup \beta^{-1}_n |S_n - \alpha_n| = c$ a.s.) when $\alpha_n = ES_n$ and $\alpha_n = 0$. The two-sided problem with $\alpha_n = \operatorname{med} S_n$ was solved by Kesten. The one-sided problem remains open for $\alpha_n = ES_n$ and $\alpha_n = 0$. Examples are given which illustrate the advantage of considering different centering sequences. A one-sided version of Strassen's converse to the law of the iterated logarithm is also given: if $\lim \sup S_n/ \sqrt{2n \log \log n} = 1$ a.s., then $EX = 0, EX^2 = 1$.
Publié le : 1981-02-14
Classification:  Law of the iterated logarithm,  domains of attraction,  exponential bounds,  truncation,  one-sided,  large values for $S_n$,  60F15
@article{1176994508,
     author = {Pruitt, William E.},
     title = {General One-Sided Laws of the Iterated Logarithm},
     journal = {Ann. Probab.},
     volume = {9},
     number = {6},
     year = {1981},
     pages = { 1-48},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994508}
}
Pruitt, William E. General One-Sided Laws of the Iterated Logarithm. Ann. Probab., Tome 9 (1981) no. 6, pp.  1-48. http://gdmltest.u-ga.fr/item/1176994508/