On the Law of the Iterated Logarithm
Tomkins, R. J.
Ann. Probab., Tome 6 (1978) no. 6, p. 162-168 / Harvested from Project Euclid
Let $X_1, X_2,\cdots$ be a sequence of independent random variables, each with zero mean and finite variance. Define $S_n = \sum^n_{i=1} X_i, s_n^2 = E(S_n^2), t_n^2 = 2 \log \log s_n^2$ and $\Lambda = \lim \sup_{n\rightarrow\infty} S_n/(s_n t_n)$. Suppose that $|X_n| \leqq c_n s_n$ a.s. for all $n$ and some real sequence $\{c_n\}$ and that $s_n \rightarrow \infty$, and let $\nu = \lim \sup_{n\rightarrow\infty} t_nc_n$. By Kolmogorov's law of the iterated logarithm, $\Lambda = 1$ if $\nu = 0$. Egorov proved that $0 \leqq \Lambda < \infty$, in every case. In this paper it will be shown that, if $\nu < \infty$, then $0 < \Lambda \leqq 1 + \sum^\infty_{j=3} \nu^{j-2}/j!$. A similar result for certain classes of unbounded random variables will also be presented.
Publié le : 1978-02-14
Classification:  Law of the iterated logarithm,  exponential bounds,  independent random variables,  60F15,  60G50
@article{1176995622,
     author = {Tomkins, R. J.},
     title = {On the Law of the Iterated Logarithm},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 162-168},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995622}
}
Tomkins, R. J. On the Law of the Iterated Logarithm. Ann. Probab., Tome 6 (1978) no. 6, pp.  162-168. http://gdmltest.u-ga.fr/item/1176995622/