On convergence rates and the expectation of sums of random variables
Let Xi be iidrv's and Sn=X1+X2+...+Xn. When EX21<+[infinity], by the law of the iterated logarithm (Sn-[alpha]n)/(n log n)1/2-->0 a.s. for some constants [alpha]n. Thus the r.v. Y=supn[greater-or-equal, slanted]1[Sn-[alpha]n-([delta]n log n)1/2]+ is a.s.finite when [delta]>0. We prove a rate of convergence theorem related to the classical results of Baum and Katz, and apply it to show, without the prior assumption EX21<+[infinity] that EYh<+[infinity] if and only if EX12+h[logX1]-1<+[infinity] for 0<h<1 and [delta]> hE(X1-EX1)2, whereas EYh=+[infinity] whenever h>0 and 0<[delta]<hE(X1-EX1)2.
Year of publication: |
1978
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Authors: | Maller, R. A. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 8.1978, 2, p. 171-179
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Publisher: |
Elsevier |
Keywords: | Convergence rates optimal stopping law of the iterated logarithm |
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