A Strong Invariance Theorem for the Strong Law of Large Numbers
Wellner, Jon A.
Ann. Probab., Tome 6 (1978) no. 6, p. 673-679 / Harvested from Project Euclid
Let $X_1, X_2,\cdots$ be i.i.d. random variables with mean 0 and variance 1. Let $S_n = X_1 + \cdots + X_n$, and let $\{H_n\}$ be the standard partial sum processes on $\lbrack 0, \infty)$ defined in terms of the $S_n$'s and normalized as in Strassen. Each function of the "tail" behavior of the process $H_n$ is the dual of a function of the "initial" behavior of the process $H_n$, the duality being induced by the time inversion map $R$. The dual role of "initial" and "tail" functions is used to exploit an extension of Strassen's invariance theorem for the law of the iterated logarithm due to Wichura, and thereby obtain limit theorems for a variety of functions of the "tail" behavior of the sums $S_n$. For example, with probability one, $$\lim \sup_{n\rightarrow \infty} (n/2 \log \log n)^\frac{1}{2} \max_{n\leqq k < \infty} (k^{-1}S_k) = 1$$ and $$\lim \sup_{n\rightarrow \infty} n^{-1} \max \{k \geqq 1: k^{-1}S_k \geqq \theta(2 \log \log n/n)^\frac{1}{2}\} = \theta^{-2}.$$
Publié le : 1978-08-14
Classification:  Law of the iterated logarithm,  strong law of large numbers,  time inversion,  invariance theorems,  60F15,  60B10
@article{1176995488,
     author = {Wellner, Jon A.},
     title = {A Strong Invariance Theorem for the Strong Law of Large Numbers},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 673-679},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995488}
}
Wellner, Jon A. A Strong Invariance Theorem for the Strong Law of Large Numbers. Ann. Probab., Tome 6 (1978) no. 6, pp.  673-679. http://gdmltest.u-ga.fr/item/1176995488/