The convergence rate for the strong law of large numbers: General lattice distributions

DOI10.1007/BF00319550MaRDI QIDQ1102029zbMATH OpenFDO

Authors James Allen Fill, Michael Wichura

Publication date 1989

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00319550

zbMATH Keywords

boundary crossing probabilitiesconvergence ratelarge deviationslattice distributionlaws of large numbersmoment generating functionrandom walkrenewal theory

Mathematics Subject Classification ID

Large deviations (60F10) Strong limit theorems (60F15) Sums of independent random variables; random walks (60G50)

Review text

Let \(X_ 1,X_ 2,..\). be a sequence of independent random variables with common lattice distribution function F having zero mean, and let \((S_ n)\) be the random walk of partial sums. The strong law of large numbers (SLLN) implies that for any \(\alpha\) \(\in {\mathbb{R}}\) and \(\epsilon >0\) \[ p_ m:=P\{S_ n>\alpha +\epsilon n\quad for\quad some\quad n\geq m\} \] decreases to 0 as m increases to \(\infty\). Under conditions on the moment generating function of F, we obtain the convergence rate by determining \(p_ m\) up to asymptotic equivalence. When \(\alpha =0\) and \(\epsilon\) is a point in the lattice for F, the result is due to \textit{D. Siegmund} [Z. Wahrscheinlichkeitstheor. verw. Geb. 31, 107-113 (1975; Zbl 0326.60028)]: but this restriction on \(\epsilon\) precludes all small values of \(\epsilon\), and these values are the most interesting vis-à- vis the SLLN. Even when \(\alpha =0\) our result handles important distributions F for which Siegmund's result is vacuous, for example, the two-point distribution F giving rise to simple symmetric random walk on the integers. We also identify for both lattice and non-lattice distributions the behavior of certain quantities in the asymptotic expression for \(p_ m\) as \(\epsilon\) decreases to 0.

Recommendations

• scientific article; zbMATH DE number 3975994
• scientific article; zbMATH DE number 3909431
• Estimates of the rate of convergence in the strong law of large numbers
• scientific article; zbMATH DE number 3984216
• Asymptotic expansions for large deviation probabilities in the strong law of large numbers

Cites work

• A Tauberian Theorem and Its Probability Interpretation
• Asymptotic expansions for large deviation probabilities in the strong law of large numbers
• Asymptotic moments of random walks with applications to ladder variables and renewal theory
• Convergence rates related to the strong law of large numbers
• scientific article; zbMATH DE number 3538576 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Large deviation probabilities in the strong law of large numbers
• On Deviations of the Sample Mean
• Saddle point approximation for the distribution of the sum of independent random variables
• Sequential analysis. Tests and confidence intervals
• Tail Probability Approximations
• The Probability in the Extreme Tail of a Convolution
• Verteilungs-invarianzprinzipien f�r das starke gesetz der gro\en zahl

Cited in

(4)

• Asymptotic expansions for large deviation probabilities in the strong law of large numbers
• On the rate of convergence of the distributions of certain statistics to the Laplace distribution
• The geometric convergence rate of a Lindley random walk
• Convergence Rates to the Arcsine Law

This page was built for publication: The convergence rate for the strong law of large numbers: General lattice distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1102029)