A supplement to the Davis--Gut law (Q879079): Difference between revisions

Let \(\{X, X_n\) \(n\geq 1\}\) be a sequence of i.i.d. random variables and let \(S_n= X_1 +\cdots+ X_n\), \(n \geq 1\). The authors prove the following result. Theorem. Let \(h(\cdot)\) be a positive nondecreasing function on \((0, \infty)\) such that \(\int^\infty_1 \frac{dt}{th(t)}= \infty\). Write \(\psi(t) = \int^t_1 \frac {ds} {sh(s)}, t \geq 1\). Then \[ \sum^\infty_n= \frac{1} {nh(n)} P\biggl ( | S_n| \geq (1 + \varepsilon) \sqrt {2nL\psi(n)}\biggr) \begin{cases} < \infty, & \text{if }\varepsilon >0,\\ = \infty, & \text{if }\varepsilon < 0, \end{cases} \] where \(Lt= \log_e \max\{e, t\}\), if and only if \(E(X)= 0\) and \(E (X^2)= 1\). When \(h(t)\equiv 1\), this result gives the Davis-Gut law.