On the Convergence Rate of the Law of Large Numbers for Linear Combinations of Independent Random Variables
Hanson, D. L. ; Koopmans, L. H.
Ann. Math. Statist., Tome 36 (1965) no. 6, p. 559-564 / Harvested from Project Euclid
The purpose of this paper is to establish the following theorem and several corollaries to it. THEOREM 1. Let $\{\xi_k : k = 0, \pm 1, \cdots\}$ be an independent sequence of real valued random variables with $E\xi_k = 0$ and moment generating functions $f_k(t) = Ee^{t\xi_k}$ such that: (1) for every $\beta > 0$ there exists $T_\beta > 0$ such that $f_k(t)$ exists and $|1 - f_k(t)| \leqq \beta|t|$ for $|t| \leqq T_\beta$ uniformly in $k$. Let $\{a_{n,k} : k = 0, \pm 1, \cdots; n = 1, 2, \cdots\}$ be real numbers such that: (2) $\sum^\infty_{k = -\infty} |a_{n,k}| < A < \infty$ for $n = 1, 2, \cdots$ (3) $f(n) = \sup_k |a_{n,k}| \rightarrow 0$ as $n \rightarrow \infty$. Then $S_n = \lim_{a\rightarrow-\infty,b\rightarrow\infty} \sum^b_{k = a} a_{n,k}\xi_k$ is defined as an almost sure limit for all $n$, and for every $\epsilon > 0$ there exists a positive $\rho_\epsilon < 1$ (depending on $A$ but not on the particular $a_{n,k}'s)$ such that \begin{equation*}\tag{(4)}P\lbrack|S_n| \geqq \epsilon\rbrack \leqq 2\rho_\epsilon^{1/f(n)}.\end{equation*} This theorem is applied in Section 3 to establish exponential convergence rates for the strong law of large numbers for subsequences of linear processes of non-identically distributed random variables. In Section 4, the application of the theorem to the summability theory of sequences of independent random variables is discussed. Section 2 is devoted to proving the theorem.
Publié le : 1965-04-14
Classification: 
@article{1177700167,
     author = {Hanson, D. L. and Koopmans, L. H.},
     title = {On the Convergence Rate of the Law of Large Numbers for Linear Combinations of Independent Random Variables},
     journal = {Ann. Math. Statist.},
     volume = {36},
     number = {6},
     year = {1965},
     pages = { 559-564},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177700167}
}
Hanson, D. L.; Koopmans, L. H. On the Convergence Rate of the Law of Large Numbers for Linear Combinations of Independent Random Variables. Ann. Math. Statist., Tome 36 (1965) no. 6, pp.  559-564. http://gdmltest.u-ga.fr/item/1177700167/