One improvement of the law of the iterated logarithm for the maximum scheme (Q352137): Difference between revisions
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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. | |||
Property / review text: 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. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Michael Falk / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G70 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6183922 / rank | |||
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Property / zbMATH Keywords | |||
sample maxima | |||
Property / zbMATH Keywords: sample maxima / rank | |||
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Property / zbMATH Keywords | |||
law of the iterated logarithm | |||
Property / zbMATH Keywords: law of the iterated logarithm / rank | |||
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Property / zbMATH Keywords | |||
regular variation | |||
Property / zbMATH Keywords: regular variation / rank | |||
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Revision as of 09:38, 28 June 2023
scientific article
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English | One improvement of the law of the iterated logarithm for the maximum scheme |
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One improvement of the law of the iterated logarithm for the maximum scheme (English)
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4 July 2013
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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.
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sample maxima
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law of the iterated logarithm
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regular variation
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