Invariance principles for logarithmic averages
Let \(X_ i\) be independent and identically distributed mean 0 random variables of variance 1. Let \(S_ n=X_ 1+X_ 2+\cdots+X_ n\) and define \(I_ k(x)=I[S_ k<xk^{1/2}]\). The classical theorems for \(S_ n\) are well-known, but in recent years there have been several papers looking at pointwise analogues to these classical results. In particular \textit{Fisher} [A pathwise central limit theorem for random walks (to appear in Ann. Probab.)]and \textit{M. T. Lacey} and \textit{W. Philipp}, Stat. Probab. Lett. 9, No. 3, 201-205 (1990; Zbl 0691.60016)]proved the so- called almost sure central limit theorem, e.g. \[ \lim_{N\to\infty}{1\over N}\sum_{k\leq N}I_ k(x)/k=\Phi(x)\text{ a.s.}, \] where \(\Phi\) is the standard normal distribution function. Although stated as a strong limit theorem this result is in fact weaker than the usual central limit theorem for \(S_ n\). This paper investigates the limiting behaviour as \(n\to\infty\) of the two-parameter process, \[ A_ n(x,t)={1\over(\log n)^{1/2}}\sum_{1\leq k\leq nt}(I_ k(x)-\Phi(x)), \] and obtains weak and strong approximations of \(A_ n(x,t)\) by a two-parameter Gaussian process. This result yields precise rates of convergence (in both the distributional and almost sure senses) and functional limit theorems related to the almost sure central limit theorem. The proofs are based on strong approximations of normalized partial sums by Ornstein-Uhlenbeck processes. An additional related paper is that of \textit{Berkes} and \textit{Dehling} [Some limit theorems in log density, (to appear in Ann. Probab.).
- A note on the almost sure central limit theorem
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- An approximation of partial sums of independent RV's, and the sample DF. II
- Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
- Energy and the law of the interated logarithm.
- scientific article; zbMATH DE number 3287297 (Why is no real title available?)
- scientific article; zbMATH DE number 3065413 (Why is no real title available?)
- On higher-dimensional analogues of the arc-sine law
- On Strong Versions of the Central Limit Theorem
- Strong invariance principles for partial sums of independent random vectors
- The asymptotic behaviour of certain additive functionals of Brownian motion
- On almost sure local and global central limit theorems
- On the logarithmic average of additive functionals
- Between local and global logarithmic averages
- On the logarithmic average of iterated processes
- The law of large numbers with exceptional sets
- Almost sure central limit theorems for heavily trimmed sums
- Logarithmic averages of stable random variables are asymptotically normal
- The logarithmic average of sample extremes is asymptotically normal.
- A strong invariance principle for the logarithmic average of sample maxima.
- A universal result in almost sure central limit theory.
- Weight functions and pathwise local central limit theorems
- A strong approximation for logarithmic averages of partial sums of random variables
- Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
- An extension of almost sure central limit theory
- Limit theorems with weights for vector-valued martingales
- Some distributional limit theorems for the maxima of Gaussian vector sequences
- scientific article; zbMATH DE number 3930034 (Why is no real title available?)
- scientific article; zbMATH DE number 1225447 (Why is no real title available?)
- Invariance principles and Gaussian approximation for strictly stationary processes
- Central limit theorems for logarithmic averages
- On almost sure max-limit theorems
- On the random functional central limit theorems with almost sure convergence for subsequences
- Almost sure central limit theorems for m-dependent random variables
- Invariance principles with logarithmic averaging for ergodic simulations
- Refinement of the almost sure central limit theorem for associated processes
- Some limit theorems in log density
- On asymptotic properties and almost sure approximation of the normalized inverse-Gaussian process
This page was built for publication: Invariance principles for logarithmic averages
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4034731)
