Precise asymptotics in some strong limit theorems for multidimensionally indexed random variables (Q1403425)
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English | Precise asymptotics in some strong limit theorems for multidimensionally indexed random variables |
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Precise asymptotics in some strong limit theorems for multidimensionally indexed random variables (English)
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1 September 2003
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Let \((X_k, k\in \mathbb{Z}^d_+)\) be i.i.d. random variables with mean \(0\), set \(S_n:= \sum_{k\leq n}X_k\), and define \[ Q(p,r;\varepsilon):= \sum_n|n|^{r/p-2} P[|S_n|> \varepsilon|n|^{1/p}] \] for \(1\leq p< 2\), \(r\geq p\) and \(\varepsilon> 0\). It is known that \(Q(p,r;\varepsilon)< \infty\) if and only if \(m(r):= E\{|X|^r \log^{d-1}(1+|X|)\}<\infty\); see, for example, \textit{L. E. Baum} and \textit{M. Katz} [Trans. Am. Math. Soc. 120, 108-123 (1965; Zbl 0142.14802)] and \textit{A. Gut} [Ann. Probab. 6, 469-482 (1978; Zbl 0383.60030)]. The current paper is principally concerned with proving sharp asymptotics for \(Q(p,r;\varepsilon)\) as \(\varepsilon\to 0\) for \(p\), \(q\) fixed and \(d\geq 2\), either when \({\mathcal L}(X)\) is in the (normal) domain of attraction of a stable distribution with characteristic exponent \(\alpha\), \(1< \alpha\leq 2\), or when \(m(2)< \infty\). Logarithmic modifications of \(Q\) when the exponent \(p\) takes the value 2 are also considered.
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multidimensional indices
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tail probabilities of sums of independent identically distributed random variables
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stable distributions
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domain of attraction
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strong law
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law of the itererated logarithm
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