Functional laws of the Iterated Logarithm for the Partial Sums of I. I. D. Random Variables in the Domain of Attraction of a Completely Asymmetric Stable Law
Wichura, Michael J.
Ann. Probab., Tome 2 (1974) no. 6, p. 1108-1138 / Harvested from Project Euclid
Suppose $X$ and $X_n, n \geqq 1$, are i.i.d. random variables whose common distribution lies in the domain of attraction of a completely asymmetric stable law of index $\alpha (0 < \alpha < 2)$, so that (i) as $\nu \rightarrow \infty, \nu \rightarrow P\{X \geqq \nu\}$ varies regularly with exponent $-\alpha$, and (ii) $\lim_{\nu\rightarrow\infty} P\{X \leqq - \nu\}/P\{X \geqq \nu\} = 0$. Under a condition only slightly more strigent than (ii), we present Strassen-type functional laws of the iterated logarithm for the partial sums $S_n = \sum_{m\leqq n} X_m, n \geqq 1$. Our laws hold in particular when $X \geqq 0$; the proofs in this case utilize some new large deviation results for the $S_n$'s.
Publié le : 1974-12-14
Classification:  Functional law of the iterated logarithm,  completely asymmetric stable distribution,  large deviations,  60F15,  60G17,  60G50,  60F10,  60J30
@article{1176996501,
     author = {Wichura, Michael J.},
     title = {Functional laws of the Iterated Logarithm for the Partial Sums of I. I. D. Random Variables in the Domain of Attraction of a Completely Asymmetric Stable Law},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 1108-1138},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996501}
}
Wichura, Michael J. Functional laws of the Iterated Logarithm for the Partial Sums of I. I. D. Random Variables in the Domain of Attraction of a Completely Asymmetric Stable Law. Ann. Probab., Tome 2 (1974) no. 6, pp.  1108-1138. http://gdmltest.u-ga.fr/item/1176996501/