An exact asymptotic for the square variation of partial sum processes

DOI10.1214/14-AIHP617MaRDI QIDQ902883zbMATH OpenFDO

Authors N. E. Zubov

Publication date 4 January 2016

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.0783, https://projecteuclid.org/euclid.aihp/1445432054

zbMATH Keywords

random walkslaw of iterated logarithmpartial sum processessquare variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Abstract: We establish an exact asymptotic formula for the square variation of certain partial sum processes. Let $X_i$ be a sequence of independent, identically distributed mean zero random variables with finite variance $sigma$ and satisfying a moment condition $mathbbE[|X_i{|}^{2+delta}]<infty$ for some $delta>0$. If we let $mathcal{P}_N$ denote the set of all possible partitions of the interval $[N]$ into subintervals, then we have that $ma{x}_{piinmathcal{P}_N}su{m}_{Iinpi}|su{m}_{iinI}{X}_i{|}^{2}sim2sigm{a}^{2}Nlnln(N)$ holds almost surely. This can be viewed as a variational strengthening of the law of the iterated logarithm and refines results of J. Qian on partial sum and empirical processes. When $delta=0$, we obtain a weaker `in probability' version of the result.

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Cited in

(2)

• Asymptotic behavior of the quadratic variation for trajectories of processes with independent increments
• Estimates for the square variation of partial sums of Fourier series and their rearrangements

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