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Lim sup behavior of sums of geometrically weighted i.i.d. random variables
Authors:Andrew Rosalsky
Affiliation:Department of Statistics, University of Florida, Gainesville, FL 32611, U.S.A.
Abstract:Geometrically weighted i.i.d. random variables {Yn} which are bounded above are shown to exhibit iterated logarithm type behavior. Specifically, if b > 1 and if the lower tail of the distribution of Y1 approaches 0 fast enough, then lim supn→∞(b?1) Σnj=1b1Yj?bn+1=L, almost certainly, where L is the essential supremum of Y1.
Keywords:Primary 60F15  Law of the iterated logarithm  weighted i.i.d. random variables  essential supremum  geometric weights  iterated logarithm type behavior
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