On Mason's extension of the Erdős-Rényi law of large numbers (Q2639411)
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English | On Mason's extension of the Erdős-Rényi law of large numbers |
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On Mason's extension of the Erdős-Rényi law of large numbers (English)
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1991
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Let \(S_ 0=0\) and \(S_ n=X_ 1+...+X_ n\) denote the partial sums of an i.i.d. sequence of random variables with finite upper endpoint \(\omega =\sup \{x:\;F(x)<1\},\) where \(F(x)=P(X_ 1\leq x).\) Let \(1\leq k(n)\leq n\) be a sequence such that \(c(n)=(\log n)/k(n)\to \infty\) as \(n\to \infty\), and consider \(U_ n(k(n))=\max_{0\leq i\leq n-k(n)}(S_{i+k(n)}-S_ i).\) In this paper, we show that the strong law \(U_ n(k(n))/(k(n)\gamma (c(n)))\to 1\) as \(n\to \infty\) obtained by Mason (1989) for \(0<\omega \leq \infty\) remains valid under suitable assumptions for \(\omega =0\). Here \(\gamma\) (\(\cdot)\) is a function depending upon the distribution of \(X_ 1\).
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Erdős-Rényi strong law of large numbers
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increments of partial sums
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large deviation probabilities
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moment-generating functions
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