Functional law of the iterated logarithm for truncated sums
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 2, Tome 244 (1997), pp. 126-142
Citer cet article
Voir la notice du chapitre de livre provenant de la source Math-Net.Ru
We obtain the functional law of the iterated logarithm (the FLIL) for truncated sums $S_n=\sum\limits_{j=1}^n\,X_j\,I\{X^2_j\le b_n\}$ of independent symmetric random variables $X_j$, $1\le j\le n$, $b_n\le\infty$. Considering the random normalization by $$ T^{1/2}_n=\Bigl(\sum_{j=1}^n\,X^2_j\,I\{X^2_j\le b_n\}\Bigr)^{1/2} $$ we get the upper estimate in the FLIL using only the condition that $T_n\to\infty$ a.s. These results are useful for studing trimmed sums.