One improvement of the law of the iterated logarithm for the maximum scheme (Q352137): Difference between revisions

Let \(X_1,X_2,\dots\) be a sequence of independent random variables with common distribution function \(F\). Suppose that \(F\) has a positive derivative \(f(x):=F'(x)\) for all sufficiently large \(x\).\ Set \[ Z_n:=\max_{1\leq j\leq n}X_j, n\in\mathbb{N}, \] and put \(g(x):=(1-F(x))/f(x)\), \(h(x):= g(x)\log\log(1/(1-F(x)))\). Provided that \(\lim_{n\to\infty}h'(x)=0\), it is well-known that \[ \limsup_{n\to\infty}(Z_n-a_n)/(g(a_n)\log\log(n))=1\text{ a.s.} \] and \[ \liminf_{n\to\infty}(Z_n-a_n)/(g(a_n)\log\log(n))=0\text{ a.s.} \] where \(F(a_n)=1-n^{-1}\), \(n\in\mathbb{N}\). Under appropriate conditions on the function \(g\), this paper establishes in particular the optimal improvement \[ \liminf_{n\to\infty}(Z_n-a_n)/(g(a_n)\log\log\log(n))=-1\text{ a.s.} \] of the lower bound.