On the Jajte strong law of large numbers (Q2244473): Difference between revisions

\textit{R. Jajte} [Ann. Probab. 31, No. 1, 409--412 (2003; Zbl 1013.60021)] proved a strong law of large numbers for weighted sums of iid random variables: Let \(\{X,X_n,\,n\geq 1\}\) be a sequence of iid random variables. Let \(g(x)\) be a positive increasing function with infinite limit as \(x\rightarrow \infty\), and \(h(x)\) a positive function such that \(\phi(x)=g(x) h(x)\) satisfies the conditions: (i) For some \(d\geq 0\), \(\phi\) is strictly increasing on \([d,\infty)\) with range \([0,\infty)\); (ii) there exist \(C\) and an integer \(k_0 > 0\) such that \(\phi(x+1)\leq C \phi(x)\), \(x\geq k_0\); (iii) there exist constants \(a\) and \(b\) such that \(\phi^2(s) \int_s^{\infty} \frac{1}{\phi^2(x)}\, dx \leq as+b\), \(s>d\). If \(E \phi^{-1}(|X|)<\infty,\) then \(\frac{1}{g(n)} \sum_{k=1}^{n} \frac{X_k-m_k}{h(k)} \rightarrow 0\,\, a.s.\), where \(m_k=EX I(|X|\leq \phi(k))\) and \(\phi^{-1} \) is the inverse of \(\phi\). The authors generalize this result to the following: Let \(\{X, X_n, \,n\geq 1\}\) be iid sequence of random variables, and let \(\{a_n,b_n, \,n\geq 1\}\) be sequence of positive numbers such that \(b_n \uparrow \infty\). Set \(C_n=b_n/a_n\). Assume that (i) \( 0<C_n \rightarrow \infty\) (ii) \(C_n^2 \sum_{k=n}^{\infty}\frac{1}{C_k^2}=O(n)\). (1) If \(\sum_{n=1}^{\infty} P(|X|>C_n) < \infty\), then for every \(\gamma >0\), (2) \(\frac{1}{b_n} \sum_{k=1}^{n} a_k (X_k - EX I(|X| \leq \gamma\,\, C_k)) \rightarrow 0 \,\,a.s.\). Conversely, if (2) holds for some \(\gamma >0 \), then (1) holds.