## The Annals of Probability

- Ann. Probab.
- Volume 11, Number 1 (1983), 123-142.

### Convergence Rates Related to the Strong Law of Large Numbers

#### Abstract

Let $X_1, X_2, \cdots$ be independent random variables with common distribution function $F$, zero mean, unit variance, and finite moment generating function, and with partial sums $S_n$. According to the strong law of large numbers, $p_m \equiv P\big\{\frac{S_n}{n} > c_n \text{for some} n \geq m\big\}$ decreases to 0 as $m$ increases to $\infty$ when $c_n \equiv c > 0$. For general $c_n$'s the Hewitt-Savage zero-one law implies that either $p_m = 1$ for every $m$ or else $p_m \downarrow 0$ as $m \uparrow \infty$. Assuming the latter case, we consider here the problem of determining $p_m$ up to asymptotic equivalence. For constant $c_n$'s the problem was solved by Siegmund (1975); in his case the rate of decrease depends heavily on $F$. In contrast, Strassen's (1967) solution for smoothly varying $c_n = o(n^{-2/5})$ is independent of $F$. We complete the solution to the convergence rate problem by considering $c_n$'s intermediate to those of Siegmund and Strassen. The rate (Theorem 1.1) in this case depends on an ever increasing number of terms in the Cramer series for $F$ the more slowly $c_n$ converges to zero.

#### Article information

**Source**

Ann. Probab., Volume 11, Number 1 (1983), 123-142.

**Dates**

First available in Project Euclid: 19 April 2007

**Permanent link to this document**

https://projecteuclid.org/euclid.aop/1176993663

**Digital Object Identifier**

doi:10.1214/aop/1176993663

**Mathematical Reviews number (MathSciNet)**

MR682804

**Zentralblatt MATH identifier**

0502.60021

**JSTOR**

links.jstor.org

**Subjects**

Primary: 60F15: Strong theorems

Secondary: 60F10: Large deviations 60G50: Sums of independent random variables; random walks 60J15

**Keywords**

Random walk laws of large numbers convergence rates boundary crossing probabilities invariance principles large deviations law of iterated logarithm Brownian motion

#### Citation

Fill, James Allen. Convergence Rates Related to the Strong Law of Large Numbers. Ann. Probab. 11 (1983), no. 1, 123--142. doi:10.1214/aop/1176993663. https://projecteuclid.org/euclid.aop/1176993663