Iterated Logarithm Laws for Asymmetric Random Variables Barely with or Without Finite Mean
Klass, Michael ; Teicher, Henry
Ann. Probab., Tome 5 (1977) no. 6, p. 861-874 / Harvested from Project Euclid
One-sided iterated logarithm laws of the form $\lim \sup (1/b_n) \sum^n_1 X_i = 1$, a.s. and $\lim \sup (1/b_n) \sum^n_1 X_i = -1$, a.s. are obtained for asymmetric independent and identically distributed random variables, the first when these have a vanishing but barely finite mean, the second when $E|X|$ is barely infinite. In both cases, $\lim \inf (1/b_n) \sum^n_1 X_i = -\infty$, a.s. The constants $b_n/n$ are slowly varying, decreasing to zero in the first case and increasing to infinity in the second. Although defined via the distribution of $|X|, b_n$ represents the order of magnitude of $E|\sum^n_1 X_i|$ when this is finite. Corresponding weak laws of large numbers are established and related to Feller's notion of "unfavorable fair games" and in the process a theorem playing the same role for the weak law as Feller's generalization of the strong law is proved.
Publié le : 1977-12-14
Classification:  Law of the iterated logarithm,  weak law of large numbers,  slowly varying,  unfavorable fair game,  60F15
@article{1176995656,
     author = {Klass, Michael and Teicher, Henry},
     title = {Iterated Logarithm Laws for Asymmetric Random Variables Barely with or Without Finite Mean},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 861-874},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995656}
}
Klass, Michael; Teicher, Henry. Iterated Logarithm Laws for Asymmetric Random Variables Barely with or Without Finite Mean. Ann. Probab., Tome 5 (1977) no. 6, pp.  861-874. http://gdmltest.u-ga.fr/item/1176995656/