The Annals of Probability

The Functional Law of the Iterated Logarithm for Stationary Strongly Mixing Sequences

Emmanuel Rio

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Abstract

Let $(X_i)_{i\in\mathbb{Z}}$ be a strictly stationary and strongly mixing sequence of real-valued mean zero random variables. Let $(\alpha_n)_{n > 0}$ be the sequence of strong mixing coefficients. We define the strong mixing function $\alpha(\cdot)$ by $\alpha(t) = \alpha_{\lbrack t\rbrack}$ and we denote by $Q$ the quantile function of $|X_0|$. Assume that \begin{equation*}\tag{*}\int^1_0\alpha^{-1}(t)Q^2(t) dt < \infty,\end{equation*} where $f^{-1}$ denotes the inverse of the monotonic function $f$. The main result of this paper is that the functional law of the iterated logarithm (LIL) holds whenever $(X_i)_{i\in\mathbb{Z}}$ satisfies $(\ast)$. Moreover, it follows from Doukhan, Massart and Rio that for any positive $a$ there exists a stationary sequence $(X_i)_{i\in\mathbb{Z}}$ with strong mixing coefficients $\alpha_n$ of the order of $n^{-a}$ such that the bounded LIL does not hold if condition $(\ast)$ is violated. The proof of the functional LIL is mainly based on new maximal exponential inequalities for strongly mixing processes, which are of independent interest.

Article information

Source
Ann. Probab., Volume 23, Number 3 (1995), 1188-1203.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176988179

Digital Object Identifier
doi:10.1214/aop/1176988179

Mathematical Reviews number (MathSciNet)
MR1349167

Zentralblatt MATH identifier
0833.60024

JSTOR
links.jstor.org

Subjects
Primary: 60F05: Central limit and other weak theorems

Keywords
Functional law of the iterated logarithm maximal exponential inequalities moment inequalities strongly mixing sequences strong invariance principle stationary sequences

Citation

Rio, Emmanuel. The Functional Law of the Iterated Logarithm for Stationary Strongly Mixing Sequences. Ann. Probab. 23 (1995), no. 3, 1188--1203. doi:10.1214/aop/1176988179. https://projecteuclid.org/euclid.aop/1176988179


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