Precise rates in the law of logarithm for the moment convergence of i.i.d. random variables (Q860604)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Precise rates in the law of logarithm for the moment convergence of i.i.d. random variables
scientific article

    Statements

    Precise rates in the law of logarithm for the moment convergence of i.i.d. random variables (English)
    0 references
    0 references
    0 references
    0 references
    9 January 2007
    0 references
    Let \(\{X, X_n,n\geq 1\}\) be a sequence of independent and identically distributed random variables with mean zero and finite variance \(\sigma^2\). Let \(S_n= \sum^n_{k=1} X_k\) and \(M_n = \max_{1\leq k\leq n}|S_k|\), \(n\geq 1\). Let \(r> 1\). The authors prove that \[ \lim_{\varepsilon\downarrow\sqrt{r- 1}}{1\over -\log(\varepsilon^2- (r- 1))} \sum^\infty_{n=1} n^{r-2-1}E\left[M_n- \sigma\varepsilon\sqrt{2n\log n}\right]_+= {2\sigma\over(r- 1)\sqrt{2\pi}} \] if and only if \(E(|X|^{2r}/(\log|X|)^r)< \infty\).
    0 references
    the law of logarithm
    0 references
    precise asymptotics
    0 references
    moment
    0 references
    i.i.d. random variables
    0 references

    Identifiers