Extreme values and the multivariate compact law of the iterated logarithm
type: Item
instance of: scholarly article
title: Extreme values and the multivariate compact law of the iterated logarithm
zbMATH Open document ID: 0986.60019
DOI: 10.1023/A:1017576903851
author: Steven J. Sepanski
published in: Journal of Theoretical Probability
publication date: 2002-05-23T00:00:00Z
review text: Consider iid random vectors \( X_1, X_2,\dots\) in \( R^d \). Assume \(X\) belongs to the generalized domain of attraction of the (multivariate) Gaussian law \(N\), i.e. there exist operators \(T_n\) and vectors \(b_n\) such that \( T_nS_n - b_n \Rightarrow N \) where \(S_n\) is the partial sum of \(X_k\). The author proves a LIL when finitely many maximal (in a certain sense) terms are omitted from the partial sum. Then the limiting cluster set is the closed unit ball if \(X\) satisfies an additional integrability condition that characterizes the number of the omitted extrema.
reviewed by: Elisaveta Pancheva
Mathematics Subject Classification ID: 60F15
zbMATH DE Number: 1679431
zbMATH Keywords: law of iterated logarithm
zbMATH Keywords: operator normalization
zbMATH Keywords: trimmed sums
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 1679431