On Berry-Esséen rates, a law of the iterated logarithm and an invariance principle for the proportion of the sample below the sample mean

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20)

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Let \(X,X_ 1,X_ 2,..\). be a sequence of i.i.d., non-degenerate random variables with mean \(\mu\) and distribution function (df) F. Let \(\theta =F(\mu)\) and for \(n\geq 1\), define \(T_ n\) to be the proportion of \(X_ 1,X_ 2,...,X_ n\) which fall below the sample mean \(\sum^{n}_{k=1}X_ k/n.\) \textit{J. K. Ghosh} [Ann. Math. Stat. 42, 1957-1961 (1971; Zbl 0235.62006)] proved that \(\{T_ n\}\) is asymptotically normal if \(EX^ 2<\infty\) and \(F'(\mu)>0\). It is now shown that this result remains true when \(F'(\mu)=0\); indeed, letting \(\Phi\) denote the standard normal df, \(| P[n^{\frac{1}{2}}(T_ n- \theta)\leq x[\theta(1-\theta)]^{\frac{1}{2}}]-\Phi(x)]\leq cn^{- frac{1}{2}}\) for some \(c>0\) and all x if \(E| X|^ 3<\infty\). Moreover, Ghosh's result is refined by showing that \(\lim \sup_{n\to \infty}n^{\frac{1}{2}}(T_ n-\theta)/(2n \log \log n)^{\frac{1}{2}}=\nu\) almost surely for a specified constant \(\nu\) whenever F(\(\mu)\) exists. The final result establishes an invariance principle for \(T_ n\) when \(EX^ 4<\infty\).

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