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On convergence rates and the expectation of sums of random variables
Authors:R.A. Maller
Affiliation:CSIRO Division of Mathematics & Statistics, P.O. Box 310, South Melbourne, Vic. 3205, Australia
Abstract:Let Xi be iidrv's and Sn=X1+X2+…+Xn. When EX21<+∞, by the law of the iterated logarithm (Snn)(n log n)12→0 a.s. for some constants αn. Thus the r.v. Y=supn?1[|Snn|?(δn log n)12]+ is a.s.finite when δ>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<+∞ that EYh<+∞ if and only if E|X1|2+h[log|X1|]-1<+∞ for 0<h<1 and δ> hE(X1?EX1)2, whereas EYh=+∞ whenever h>0 and 0<δE(X1?EX1)2.
Keywords:Convergence rates  optimal stopping  law of the iterated logarithm
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