A supplement to the laws of large numbers and the large deviations

DOI10.1080/17442508.2021.1903465MaRDI QIDQ5086729zbMATH OpenOpenAlexFDO

Authors Yu Miao, Deli Li

Publication date 7 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.05150

zbMATH Keywords

large deviationslaws of large numbersheavy-tailed random variablessums of i.i.d. random variableslogarithmic asymptotic behaviours

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Abstract: Let $0<p<2$. Let $X,X_n;ngeq1$ be a sequence of independent and identically distributed $mathbfB$-valued random variables and set $S_n=su{m}_{i=1}^n{X}_i,ngeq1$. In this paper, a supplement to the classical laws of large numbers and the classical large deviations is provided. We show that if $S_n/n^{1/p}ightarro{w}_{mathbbP}0$, then, for all $s>0$, [ limsup_{n o infty} frac{1}{log n} log mathbb{P}left(left|S_{n} ight| > s n^{1/p} ight) = - (�ar{�eta} - p)/p ] and [ liminf_{n o infty} frac{1}{log n} log mathbb{P}left(left|S_{n} ight| > s n^{1/p} ight) = -(underline{�eta} - p)/p, ] where [ �ar{�eta} = - limsup_{t ightarrow infty} frac{log mathbb{P}(log |X| > t)}{t} ~~mbox{and}~~underline{�eta} = - liminf_{t ightarrow infty} frac{log mathbb{P}(log |X| > t)}{t}. ] The main tools employed in proving this result are the symmetrization technique and three powerful inequalities established by Hoffmann-J{o}rgensen (1974), de Acosta (1981), and Ledoux and Talagrand (1991), respectively. As a special case of this result, the main results of Hu and Nyrhinen (2004) are not only improved, but also extended.

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Cited in

(6)

• Limit behaviors for a heavy-tailed \(\beta\)-mixing random sequence
• A general large deviation result for partial sums of i.i.d. super-heavy tailed random variables
• Large deviations for a super-heavy tailed \(\beta\)-mixing sequence
• A general logarithmic asymptotic behavior for partial sums of i.i.d. random variables
• Large deviations for some dependent heavy tailed random sequences
• Limit behaviors for a \(\beta \)-mixing sequence in the St. Petersburg game

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