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A supplement to the laws of large numbers and the large deviations

Probability 2020-07-13 v1

Abstract

Let 0<p<20 < p < 2. Let {X,Xn;n1}\{X, X_{n}; n \geq 1\} be a sequence of independent and identically distributed B\mathbf{B}-valued random variables and set Sn=i=1nXi, n1S_{n} = \sum_{i=1}^{n}X_{i},~n \geq 1. In this paper, a supplement to the classical laws of large numbers and the classical large deviations is provided. We show that if Sn/n1/pP0S_{n}/n^{1/p} \rightarrow_{\mathbb{P}} 0, then, for all s>0s > 0, lim supn1lognlogP(Sn>sn1/p)=(βˉp)/p \limsup_{n \to \infty} \frac{1}{\log n} \log \mathbb{P}\left(\left\|S_{n} \right\| > s n^{1/p} \right) = - (\bar{\beta} - p)/p and lim infn1lognlogP(Sn>sn1/p)=(βp)/p, \liminf_{n \to \infty} \frac{1}{\log n} \log \mathbb{P}\left(\left\|S_{n} \right\| > s n^{1/p} \right) = -(\underline{\beta} - p)/p, where βˉ=lim suptlogP(logX>t)t  \mboxand  β=lim inftlogP(logX>t)t. \bar{\beta} = - \limsup_{t \rightarrow \infty} \frac{\log \mathbb{P}(\log \|X\| > t)}{t} ~~\mbox{and}~~\underline{\beta} = - \liminf_{t \rightarrow \infty} \frac{\log \mathbb{P}(\log \|X\| > t)}{t}. The main tools employed in proving this result are the symmetrization technique and three powerful inequalities established by Hoffmann-J{\o}rgensen (1974), de Acosta (1981), and Ledoux and Talagrand (1991), respectively. As a special case of this result, the main results of Hu and Nyrhinen (2004) are not only improved, but also extended.

Keywords

Cite

@article{arxiv.2007.05150,
  title  = {A supplement to the laws of large numbers and the large deviations},
  author = {Deli Li and Yu Miao},
  journal= {arXiv preprint arXiv:2007.05150},
  year   = {2020}
}

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19 pages