A law of the iterated logarithm for geometrically weighted martingale difference sequences

DOI10.1007/BF02214275MaRDI QIDQ1322913zbMATH OpenOpenAlexFDO

Authors Pierre Picco, Maria Eulalia Vares

Publication date 9 May 1994

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02214275

zbMATH Keywords

central limit theoremlaw of the iterated logarithmstationary and ergodic martingale difference sequence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Review text

Let \(Y_ n\), \(n\geq 1\), be a stationary and ergodic martingale difference sequence with \(E(Y^ 2_ 0)=1\), and for \(\beta<1\) set \(\xi(\beta)= \sum_{n=0}^ \infty \beta^ n Y_ n\). It is shown that the random variables \(\xi(\beta)\), when suitably normalized, obey a law of the iterated logarithm and a central limit theorem as \(\beta \nearrow 1\).

Cites work

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Cited in

(13)

• Some laws of the iterated logarithm for two parameter martingales
• Strong approximation theorems for geometrically weighted random series and their applications
• A law of the iterated logarithm for geometrically weighted series of negatively associated random variables.
• Limit theorems for discounted convergent perpetuities
• A self-normalized law of the iterated logarithm for the geometrically weighted random series
• A nonclassical LIL for geometrically weighted series in Banach space
• scientific article; zbMATH DE number 3951687 (Why is no real title available?)
• Laws of iterated logarithm for state variables with applications
• scientific article; zbMATH DE number 915662 (Why is no real title available?)
• On the Complete Convergence of Martingale
• Asymptotic behaviors for random geometric series
• Generalized LIL for geometrically weighted random series in Banach spaces
• A general LIL for \(B\)-valued geometrically weighted series under dependent assumption

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