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Precise asymptotics in Spitzer and Baum-Katz's law of large numbers: the semistable case
Authors:Hans-Peter Scheffler
Affiliation:Fachbereich Mathematik, University of Dortmund, 44221 Dortmund, Germany
Abstract:Let X1,X2,… be i.i.d. random variables with distribution μ and with mean zero, whenever the mean exists. Set Sn=X1+?+Xn. In recent years precise asymptotics as ε↓0 have been proved for sums like ∑n=1n−1P{|Sn|?εn1/p}, assuming that μ belongs to the (normal) domain of attraction of a stable law. Our main results generalize these results to distributions μ belonging to the (normal) domain of semistable attraction of a semistable law. Furthermore, a limiting case new even in the stable situation is presented.
Keywords:Tail probabilities of sums of i.i.d. random variables   Semistable distributions   Spitzer's law   Baum-Katz's law
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