Precise rates in the law of the iterated logarithm under dependence assumptions

Let {X, X1, X2,...} be a strictly stationaryφ-mixing sequence which satisfies EX = 0,EX^2（log2{X}）^2〈∞and φ（n）=O（1/log n）^Tfor some T〉2.Let Sn=∑k=1^nXk and an=O（√n/（log2n）^γ for some γ〉1/2.We prove that limε→√2√ε^2-2∑n=3^∞1/nP（｜Sn｜≥ε√ESn^2log2n＋an）=√2.The results of Gut and Spataru （2000） are special cases of ours.     

Precise rates in the law of the logarithm in the Hilbert space

Let be a sequence of i.i.d. random variables taking values in a real separable Hilbert space (H,‖⋅‖) with covariance operator Σ, and set Sn=X₁+?+Xn, n?1. Let . We prove that, for any 1<r<3/2 and a>−d/2,

     

R/S统计量重对数律的精确收敛速度

Let{Xn;n≥1}be a sequence of i.i.d, random variables with finite variance,Q（n）be the related R/S statistics. It is proved that lim ε↓0 ε^2 ∑n=1 ^8 n log n/1 P{Q（n）≥ε√2n log log n}=2/1 EY^2,where Y=sup0≤t≤1B（t）-inf0≤t≤sB（t）,and B（t） is a Brownian bridge.     

On the rates of the other law of the logarithm

Let X, X1 , X2 , . . . be i.i.d. random variables, and set Sn = X1 +···+Xn , Mn = maxk≤n |Sk|, n ≥1. Let an = o( (n)(1/2)/logn). By using the strong approximation, we prove that, if EX = 0, VarX = σ2 0 and E|X| 2+ε ∞ for some ε 0, then for any r 1, lim ε1/(r-1)(1/2) [ε-2-(r-1)]∞∑n=1 nr-2 P{Mn ≤εσ (π2n/(8log n))(1/2) + an } = 4/π . We also show that the widest a n is o( n(1/2)/logn).     

Precise rates of the first moment convergence in the LIL for NA sequences

Let be a strictly stationary sequence of negatively associated random variables with zero mean and finite variance. We set and , . If , then for any , we show the precise rates of the first moment convergence in the law of the iterated logarithm for a kind of weighted infinite series of and as , and as .     

Precise rates in the law of logarithm for the moment convergence of i.i.d. random variables

Let be a sequence of i.i.d. random variables with EX=0 and EX²=σ²<∞. Set , Mn=maxk?n|Sk|, n?1. Let r>1, then we obtain

     

The law of iterated logarithm for logarithmic combinatorial assemblies

The strong convergence of dependent random variables is analyzed and the law of iterated logarithm for real additive functions defined on the class of combinatorial assemblies is obtained. Published in Lietuvos Matematikos Rinkinys, Vol. 46, No. 4, pp. 532–547, October–December, 2006.     

Exact rate of convergence in Strassen's law of the interated logarithm

We investigate the upper limiting behavior of the distance of the normalize trajectories of a Wiener process from Strassen's class. It is shown that the right rate is (log logT)^–2/3, improving previous results by the author and by Goodman and Kuelbs.^(2,3)     

The Strassen law of iterated logarithm for combinatorial assemblies

In [13], we investigated one-dimensional laws of iterated logarithm for additive functions defined on a class of combinatorial assemblies. In this paper, we obtain a functional law of iterated logarithm. Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 2, pp. 211–219, April–June, 2007.     

Precise asymptotics for complete moment convergence in Hilbert spaces

Let {X, X _n ; n?≥?1} be a sequence of i.i.d. random variables taking values in a real separable Hilbert space \((\textbf{H},\|\cdot\|)\) with covariance operator Σ. Set \(S_n=\sum_{i=1}^nX_i,\) n?≥?1. We prove that for 1?p?r?>?1?+?p/2,

$\begin{array}{lll} &;\lim\limits_{\varepsilon\searrow0}\varepsilon^{(2r-p-2)/(2-p)}\sum\limits_{n=1}^\infty n^{r/p-2-1/p}{\mbox{\rm{\textsf{E}}}}\{\|S_n\|-\sigma\varepsilon n^{1/p}\}_+\\&;\quad\qquad\qquad\qquad=\sigma^{-(2r-2-p)/(2-p)}\frac{p(2-p)}{(r-p)(2r-p-2)}{\mbox{\rm{\textsf{E}}}}\|Y\|^{2(r-p)/(2-p)}, \end{array}$

where Y is a Gaussian random variable taking value in a real separable Hilbert space with mean zero and covariance operator Σ, and σ ² is the largest eigenvalue of Σ.

     

On the Makarov law of the iterated logarithm

We obtain considerable improvement of Makarov's estimate of the boundary behavior of a general conformal mapping from the unit disk to a simply connected domain in the complex plane. We apply the result to improve Makarov's comparison of harmonic measure with Hausdorff measure on simply connected domains.

     

Precise asymptotics in the self-normalized law of the iterated logarithm

Let X,X₁,X₂,… be i.i.d. nondegenerate random variables with zero means, and . We investigate the precise asymptotics in the law of the iterated logarithm for self-normalized sums, S_n/V_n, also for the maximum of self-normalized sums, max_1kn|S_k|/V_n, when X belongs to the domain of attraction of the normal law.     

Precise asymptotics in the law of the iterated logarithm*

Let X₁, X₂, ... be i.i.d. random variables with EX₁ = 0 and positive, finite variance σ², and set S_n = X₁ + ... + X_n. For any α > −1, β > −1/2 and for κ_n(ε) a function of ε and n such that κ_n(ε) log log n → λ as n ↑ ∞ and , we prove that

On the law of the iterated logarithm for Gaussian processes

We present some optimal conditions for the compact law of the iterated logarithm of a sequence of jointly Gaussian processes in different situations. We also discuss the local law of the iterated logarithm for Gaussian processes indexed by arbitrary index sets, in particular for self-similar Gaussian processes. We apply these results to obtain the law of the iterated logarithm for compositions of Gaussian processes. Research partially supported by NSF Grant DMS-93-02583.     

Convergence rates in the law of logarithm of random elements

1. IntroductionLet {Xu, n 2 1} be a sequence of r.v.IS in the same probability space and put Sa =nZ Xi, n 2 1; L(x) = mad (1, logx).i=1Since the definition of complete convergence is illtroduced by Hsu and Robbins[6], therehave been many authors who devote themselves to the study of the complete convergence forsums of i.i.d. real-valued r.v.'s, and obtain a series of elegys results, see [3,7]. Meanwhile,the convergence rates in the law of logarithm of i.i.d. real-vained r.v.'s have also be…     

负相伴随机变量的非经典重对数律

§ 1　 IntroductionA finite family of random variables { Xi,1≤ i≤ n} is said to be negatively associated(NA) is for every pair of disjointsubsets A1 and A2 of{ 1 ,2 ,...,n} ,Cov{ f1 (Xi,i∈ A1 ) ,f2 (Xj,j∈ A2 ) }≤ 0 ,(1 .1 )whenever f1 and f2 are coordinatewise increasing and the covariance exists.An infinitefamily is negatively associated ifevery finite subfamily is negatively associated.This defini-tion was introduced by Alam and Saxena[1 ] and Joag-Dev and Proschan[2 ] .As pointed…     

Exact convergence rates for the bounded law of the iterated logarithm in Hilbert space

Summary In a previous paper we obtained upper and lower class type results refining the bounded LIL for sums of iid Hilbert space valued mean zero random variables, whose covariance operators satisfy certain regularity assumptions. We now establish precise convergence rates for the bounded LIL in the non-regular case. It turns out that the almost sure behavior in this case is entirely different from the behavior in the previous situation.Supported in part by NSF Grant DMS 90-05804     

Precise asymptotics for the first moment of the error variance estimator in linear models

Let σ² be the unknown error variance of a linear model and let be the estimator of σ² based on the residual sum of squares. In this work, we show the precise asymptotics in the law of the logarithm for the first moment of the error variance estimator.     

NA序列的重对数矩收敛的精确渐近性

假设{X_n,n≥1}为一列严平稳的NA随机变量,期望为零,方差有限.设S_n=∑_(i=1)~n∑X_i,M_n=max_(1≤i≤n)|S_i|.在适当的条件下,得到了一类NA序列部分和部分和最大值重对数矩收敛的精确渐近性.