Laws of the iterated logarithm for weighted sums of independent random variables
Let [Lambda] = lim supn-->[infinity](2n log log n)-1/2 [Sigma]k=1n[latin small letter f with hook](k/n)Xk, where [latin small letter f with hook] is a function defined on [0,1] and {X, Xn;n[greater-or-equal, slanted]1} is an iid sequence. If X is real-valued, it is shown that [Lambda] = [latin small letter f with hook]2, the L2-norm of [latin small letter f with hook], for all functions [latin small letter f with hook] in a certain class of absolutely continuous functions if E(X) = 0 and E(X2) = 1. Conversely, if [Lambda] = [latin small letter f with hook]2 for some such [latin small letter f with hook] with [integral operator]01[latin small letter f with hook](t)dt [not equal to] 0, then E(X) = 0, E(X2) = 1. Necessary and sufficient conditions for the compact law of the iterated logarithm are given in the case when X takes values in a separable Banach space, and a law of the iterated logarithm for sums of weighted partial sums is obtained in a Banach space setting.
Year of publication: |
1996
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Authors: | Li, Deli ; Tomkins, R. J. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 27.1996, 3, p. 247-254
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Publisher: |
Elsevier |
Keywords: | Law of the iterated logarithm iid random variables Banach space Compact law of the iterated logarithm |
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