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April, 1974 A Remark on the Strong Law
David Freedman
Ann. Probab. 2(2): 324-327 (April, 1974). DOI: 10.1214/aop/1176996713

Abstract

Let $X_1, X_2, \cdots$ be a sequence of random variables, each having conditional mean zero given the past. Let $V_n$ be the conditional variance of $X_n$ given the past. Les $S_n = X_1 + \cdots + X_n$ and $T_n = V_1 + \cdots + V_n$. For simplicity, suppose $\sum V_i = \infty$ a.e. For which non-decreasing function $\phi$ does $S_n/\phi(T_n)$ necessarily lead to 0 a.e. as $n$ increases? It is necessary and sufficient that $\int^\infty 1/\phi(t)^2 dt < \infty$. That is, if the integral is finite, convergence to zero a.e. is guaranteed for all $X_i$ and $V_i$ satisfying the stated condition. If the integral is infinite, there is a sequence of independent, symmetric random variables $X_i$, each having variance 1, such that $S_n/\phi(n)$ oscillates between $\pm\infty$. The sufficiency is known, but a new proof is given.

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David Freedman. "A Remark on the Strong Law." Ann. Probab. 2 (2) 324 - 327, April, 1974. https://doi.org/10.1214/aop/1176996713

Information

Published: April, 1974
First available in Project Euclid: 19 April 2007

zbMATH: 0321.60025
MathSciNet: MR391234
Digital Object Identifier: 10.1214/aop/1176996713

Subjects:
Primary: 60F10
Secondary: 60F15 , 60G40 , 60G45

Keywords: dynamic probamming , gambling , Martingales , stopping times , Strong law of large numbers

Rights: Copyright © 1974 Institute of Mathematical Statistics

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Vol.2 • No. 2 • April, 1974
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