Cluster sets for partial sums and partial sum processes (Q2450249): Difference between revisions

Let \((X_n)_{n\geq1}\) be i.i.d.\ random vectors on \(\mathbb R^d\) with mean zero, partial sums \(S_n=\sum_{k=1}^nX_k\) and linearly interpolated partial sum process \(\{S_{(n)}(t)\}_{t\in[0,1]}\). As a continuation of their earlier works, the authors study the structure of the cluster sets \(A\) of \((c_n^{-1}S_n)_{n\geq1}\) and \(\mathcal A\) of \((c_n^{-1}\{S_{(n)}(t)\}_{t\in[0,1]})_{n\geq1}\) for a suitable sequence \((c_n)_{n\geq1}\) of positive constants. Their main theorem states that, if \(c_n^{-1}\sqrt{n}\to 0\), \(c_n/c_m\leq(1+\varepsilon)n/m\) for large \(m<n\), \(\sum_{n=1}^\infty \operatorname{P}\{\|X_1\|>c_n\}<\infty\) and \(\limsup_{n\to\infty}c_n^{-1}\|S_n\|<\infty\), then with probability one \(\mathcal A\) is a compact subset of \(C[0,1]\) and \(A\) is a compact in \(\mathbb R^d\), symmetric with respect to the origin and star-like. Moreover, upper and lower bound sets for \(\mathcal A\) are provided. An example is given such that, for an arbitrary compact, symmetric and star-like subset \(A\) of \(\mathbb R^d\), the corresponding functional cluster set \(\mathcal A\) coincides with the lower bound set. In the case where the coordinates of \(X_1\) are independent, a full characterization of \(\mathcal A\) in terms of \(A\) and the cluster set in Strassen's functional LIL for real-valued random variables is given. Preliminary to their main results, the authors first consider general cluster sets for the functional LIL of random variables with values in a separable Banach space \(B\) and derive criteria for a function \(f:[0,1]\to B\) to belong to the cluster set \(\mathcal A\). These criteria can be written in terms of Brownian motion probabilities in the special case of \(B=\mathbb R^d\) using a strong approximation result of \textit{A. I. Sakhanenko} [Prog. Probab. 47, 223--245 (2000; Zbl 0971.60032)], which enables the authors to prove their main results.