The Annals of Probability

Necessary and Sufficient Conditions for Complete Convergence in the Law of Large Numbers

Soren Asmussen and Thomas G. Kurtz

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Abstract

Relationships between the growth of a sequence $N_k$ and conditions on the tail of the distribution of a sequence $X_l$ of i.i.d. mean zero random variables are given that are necessary and sufficient for $$\sum^\infty_{k=1} P\big\{\big|\frac{1}{N_k} \sum^{N_k}_{l=1} X_l\big| > \varepsilon\big\} < \infty.$$ The results are significant for distributions satisfying $E(|X_l|) < \infty$ but $E(|X_l|^\beta) = \infty$ for some $\beta > 1$. Necessary and sufficient conditions for the finiteness of sums of the form $$\sum^\infty_{n=1} \gamma (n)P\big\{\big|\frac{1}{n} \sum^n_{l=1} X_l\big| > \varepsilon\big\}$$ are obtained as a corollary.

Article information

Source
Ann. Probab., Volume 8, Number 1 (1980), 176-182.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176994835

Digital Object Identifier
doi:10.1214/aop/1176994835

Mathematical Reviews number (MathSciNet)
MR556425

Zentralblatt MATH identifier
0426.60026

JSTOR
links.jstor.org

Subjects
Primary: 60F10: Large deviations
Secondary: 60F05: Central limit and other weak theorems 60F15: Strong theorems

Keywords
Law of large numbers triangular array complete convergence error estimates

Citation

Asmussen, Soren; Kurtz, Thomas G. Necessary and Sufficient Conditions for Complete Convergence in the Law of Large Numbers. Ann. Probab. 8 (1980), no. 1, 176--182. doi:10.1214/aop/1176994835. https://projecteuclid.org/euclid.aop/1176994835


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