Annals of Probability
- Ann. Probab.
- Volume 5, Number 6 (1977), 861-874.
Iterated Logarithm Laws for Asymmetric Random Variables Barely with or Without Finite Mean
One-sided iterated logarithm laws of the form $\lim \sup (1/b_n) \sum^n_1 X_i = 1$, a.s. and $\lim \sup (1/b_n) \sum^n_1 X_i = -1$, a.s. are obtained for asymmetric independent and identically distributed random variables, the first when these have a vanishing but barely finite mean, the second when $E|X|$ is barely infinite. In both cases, $\lim \inf (1/b_n) \sum^n_1 X_i = -\infty$, a.s. The constants $b_n/n$ are slowly varying, decreasing to zero in the first case and increasing to infinity in the second. Although defined via the distribution of $|X|, b_n$ represents the order of magnitude of $E|\sum^n_1 X_i|$ when this is finite. Corresponding weak laws of large numbers are established and related to Feller's notion of "unfavorable fair games" and in the process a theorem playing the same role for the weak law as Feller's generalization of the strong law is proved.
Ann. Probab., Volume 5, Number 6 (1977), 861-874.
First available in Project Euclid: 19 April 2007
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Primary: 60F15: Strong theorems
Klass, Michael; Teicher, Henry. Iterated Logarithm Laws for Asymmetric Random Variables Barely with or Without Finite Mean. Ann. Probab. 5 (1977), no. 6, 861--874. doi:10.1214/aop/1176995656. https://projecteuclid.org/euclid.aop/1176995656