On the law of the iterated logarithm for increments of sums of independent random variables

We obtain the law of the iterated logarithm for increments of sums of independent random variables. Our results generalize the Kolmogorov theorem and the Hartman—Wintner theorem on the law of the iterated logarithm. Bibliography: 17 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 320, 2004, pp. 174–186.     

On the Asymptotic Properties of Solutions of Linear Stochastic Differential Equations in Rd

We investigate necessary and sufficient conditions for the almost-sure boundedness of normalized solutions of linear stochastic differential equations in R ^dand their almost-sure convergence to zero. We establish an analog of the bounded law of iterated logarithm.     

Laws of the iterated logarithm and an almost sure invariance principle for mixing <Emphasis Type="Italic">B</Emphasis>-valued random variables and autoregressive processes

Under optimal moment conditions, we prove the compact law of the iterated logarithm and the almost sure invariance principle for ψ-mixing random variables with values in type 2 Banach spaces. These results, together with the bounded law of the iterated logarithm proved earlier by author, allow us to prove the same kind of results for the Banach space valued autoregressive processes with ψ-mixing innovations. The results for autoregressive processes can be considered as asymptotic properties of the estimator of mean.     

Strong Limit Theorems for Increments of Sums of Independent Random Variables

We derive universal strong laws for increments of sums of independent, nonidentically distributed, random variables. These results generalize universal results of the author for the i.i.d. case which include the strong law of large numbers, law of the iterated logarithm, Erdos-Renyi law, and Csorgo-Revesz laws. Bibliography: 27 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 311, 2004, pp. 260–285.     

Wittmann's Law of Iterated Logarithm for Tail Sums of B-Valued Random Variables

We present an analogue of Wittmann's law of iterated logarithm (LIL) for tail sums of independent B-valued random variables by using the isoperimetric method and give the precise value of the upper limit for the LIL for tail sums.     

The Law of the Iterated Logarithm and Central Limit Theorem for L-Statistics

The Chung–Smirnov law of the iterated logarithm and the Finkelstein functional law of the iterated logarithm for empirical processes are used to establish new results on the central limit theorem, the law of the iterated logarithm, and the strong law of large numbers for L-statistics with certain bounded and smooth weight functions. These results are used to obtain necessary and sufficient conditions for almost sure convergence and for convergence in distribution of some well-known L-statistics and U-statistics, including Gini's mean difference statistic. A law of the logarithm for weighted sums of order statistics is also presented.     

Estimates of constants in right-hand sides of Marcinkiewicz’s and Rosenthal’s inequalities

Some optimal asymptotic estimates of constants for the right-hand inequalities of Marcinkiewicz and Rosenthal are derived. These estimates imply some new inequalities for the rate of increase of sums and optimal right-hand estimates for the law of the iterated logarithm. Similar estimates are derived for self-normalized sums. Bibliography: 12 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 341, 2007, pp. 115–123.     

B值独立随机元重对数律收敛速度的一般形式

本文讨论了Ｂ值独立同分布（ｉｉｄ）随机元重对数律收敛速度的一般形式,使得Ｄａｖｉｓ＾「１」及Ｇｕｔ＾「２,３」中的一些结果成为特款,同时减弱了Ｄａｖｉｓ结果中的矩条件,并且得到了Ｂ值ｉｉｄ随机元满足有界重对数律的一个充分性条件。作为应用,我们给出了随机足标和的相应结果。     

The LIL for <Emphasis Type="Italic">U</Emphasis>-Statistics in Hilbert Spaces

We give necessary and sufficient conditions for the (bounded) law of the iterated logarithm for U-statistics in Hilbert spaces. As a tool we also develop moment and tail estimates for canonical Hilbert-space valued U-statistics of arbitrary order, which are of independent interest. R. Adamczak’s research partially supported by MEiN Grant 2 PO3A 019 30. R. Latała’s research partially supported by MEiN Grant 1 PO3A 012 29.     

Self-Normalized LIL for Hanson–Russo Type Increments

Let X ₁, X ₂,... be independent, but not necessarily identically distributed random variables in the domain of attraction of a normal law or a stable law with index 0 < α < 2. Using suitable self-normalizing (or Studentizing) factors, laws of the iterated logarithm for self-normalized Hanson–Russo type increments are discussed. Also, some analogous results for self-normalized weighted sums of i.i.d. random variables are given.     

Generalized Law of the Iterated Logarithm and Its Convergence Rate

Abstract

This article considers the partial sums from a sequence of independent and identically distributed random variables. It is well-known that the Hartman-Wintner law of the iterated logarithm holds if and only if the second moment exists. This article studies the generalized law of the iterated logarithm for the partial sums when they are normalized by a sequence of constants that are regularly varying with index 1/2. As a result, two equivalent conditions for the law are obtained.     

On the functional law of the iterated logarithm for trimmed sums

New conditions for the functional law of the iterated logarithm for trimmed sums of symmetric independent identically distributed random variables are obtained. Bibliography: 7 titles. Translated fromZapiski Nauchnykh Seminarov POMI, Vol. 244, 1997, pp. 119–125. Translated by N. B. Lebedinskaya.     

Bounded laws of the iterated logarithm for quadratic forms in Gaussian random variables

In this paper we prove bounded laws of the iterated logarithm for Gaussian quadratic forms. The underlying sequence of Gaussian variables is assumed to satisfy quite general conditions on its covariance structure. Basic tools are maximal inequalities of exponential type for sums of dependent random variables which may be of own interest. Several examples illustrate the sharpness of the results. In a particular section the bounded law of the iterated logarithm is shown for quadratic variation of Brownian motion.     

Laws of the iterated logarithm for partial sum processes indexed by functions

We establish a bounded and a compact law of the iterated logarithm for partial sum processes indexed by classes of functions. We assume a growth condition on the metric entropy under bracketing. Examples show that our results are sharp. As a corollary we obtain new results for weighted sums of independent identically distributed random variables.     

Strong approximations for partial sums of i.i.d.B-valued r.v.'s in the domain of attraction of a Gaussian law

Summary We obtain a strong approximation theorem for partial sums of i.i.d.d-dimensional r.v.'s with possibly infinite second moments. Using this result, we can extend Philipp's strong invariance principle for partial sums of i.i.d.B-valued r.v.'s satisfying the central limit theorem toB-valued r.v.'s which are only in the domain of attraction of a Gaussian law. This new strong invariance principle implies a compact as well as a functional law of the iterated logarithm which improve some recent results of Kuelbs (1985).     

A Probability Limit Theorem for {f(nx)}

We prove a law of the iterated logarithm for sums ∑ _k ≦ _N f(n _k x) where f is a periodic measurable function and (n _k ) is a rapidly increasing sequence of integers. Our result applies also in the sub-Hadamard case and extends and improves earlier results in the field. This revised version was published online in June 2006 with corrections to the Cover Date.     

One moment estimate for the supremum of normalized sums in the law of the iterated logarithm

For a sequence of independent random elements in a Banach space, we obtain an upper bound for moments of the supremum of normalized sums in the law of the iterated logarithm by using an estimate for moments in the law of large numbers. An example of their application to the law of the iterated logarithm in Banach lattices is given. __________ Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 58, No. 5, pp. 653–665, May, 2006.     

On the law of the iterated logarithm for permuted lacunary sequences

It is known that for any smooth periodic function f the sequence (f(2 ^k x)) _k≥1 behaves like a sequence of i.i.d. random variables; for example, it satisfies the central limit theorem and the law of the iterated logarithm. Recently Fukuyama showed that permuting (f(2 ^k x)) _k≥1 can ruin the validity of the law of the iterated logarithm, a very surprising result. In this paper we present an optimal condition on (n _k ) _k≥1, formulated in terms of the number of solutions of certain Diophantine equations, which ensures the validity of the law of the iterated logarithm for any permutation of the sequence (f(n _k x)) _k≥1. A similar result is proved for the discrepancy of the sequence ({n _k x}) _k≥1, where {·} denotes the fractional part.     

Moments of the maximum of normed partial sums of random variables with multidimensional indices

Summary For a set of i.i.d. random variables indexed by the positive integer d-dimensional lattice points we give conditions for the existence of moments of the supremum of normed partial sums, thereby obtaining results related to the Kolmogorov-Marcinkiewicz strong law of large numbers and the law of the iterated logarithm.     

SOME LIMIT PROPERTIES OF LOCAL TIME FOR RANDOM WALK

Let X,X1,X2 be i. i. d. random variables with EX^2＋δ〈∞ （for some δ〉0）. Consider a one dimensional random walk S={Sn}n≥0, starting from S0 =0. Let ζ＊ （n）=supx∈zζ（x,n）,ζ（x,n） =#{0≤k≤n：[Sk]=x}. A strong approximation of ζ（n） by the local time for Wiener process is presented and the limsup type and liminf-type laws of iterated logarithm of the maximum local time ζ＊（n） are obtained. Furthermore,the precise asymptoties in the law of iterated logarithm of ζ＊（n） is proved.