Precise asymptotics in the law of iterated logarithm for the first moment convergence of i.i.d. random variables (Q449022)
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English | Precise asymptotics in the law of iterated logarithm for the first moment convergence of i.i.d. random variables |
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Precise asymptotics in the law of iterated logarithm for the first moment convergence of i.i.d. random variables (English)
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11 September 2012
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Let \(\{X_{n},n\geq 1\}\) be a sequence of i.i.d. random variables, set \( S_{n}=X_{1}+\dotsb+X_{n},\) \(n\geq 1,\) and let \(d,\beta ,\sigma >0.\) Under necessary and sufficient moment conditions, the authors compute \[ \lim\limits_{\varepsilon \searrow 0}\varepsilon ^{2\beta/d}\sum\limits_{n\geq 3}a_{n}\operatorname{E}[\left| S_{n}\right| -b_{n}]_{+}, \] where \(a_{n}=(\log \log n)^{\beta -1}/n^{3/2}\log n\) and \(b_{n}=\varepsilon \sigma \sqrt{n}(\log \log n)^{d/2}\).
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moment convergence
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law of the iterated logarithm
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i.i.d. random variables
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