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The Annals of Probability
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The Annals of Probability
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The Other Law of the Iterated Logarithm

The other law of the iterated logarithm
Authors: Jain, Naresh C.; Pruitt, William E.;

The Other Law of the Iterated Logarithm

Abstract

Let $\{X_n\}$ be a sequence of independent, identically distributed random variables with $EX_1 = 0, EX_1^2 = 1$. Define $S_n = X_1 + \cdots + X_n$, and $A_n = \max_{1\leqq k\leqq n} |S_k|$. We prove that $\lim \inf A_n(n/\log \log n)^{-\frac{1}{2}} = \pi/8^{\frac{1}{2}}$ with probability one. This result was proved by Chung under the assumption of a finite third moment and under progressively weaker moment assumptions by Pakshirajan, Breiman, and Wichura. Chung posed the problem of whether it is enough to assume only the finiteness of the second moment in his review of Pakshirajan's paper in 1961. We showed earlier that $(n/\log \log n)^{\frac{1}{2}}$ is the correct normalization but were unable to show that the constant is necessarily $\pi/8^{\frac{1}{2}}$.

Keywords

Lim inf, lower bounds, 60G50, Strong limit theorems, Sums of independent random variables; random walks, maxima, partial sums, 60F15

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
46
Top 10%
Top 1%
Average
Green
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