徐明周, 程琨. 在希尔伯特空间的一般重对数律的精确速率[J]. 应用概率统计, 2022, 38(6): 807-824. DOI: 10.3969/j.issn.1001-4268.2022.06.002
引用本文: 徐明周, 程琨. 在希尔伯特空间的一般重对数律的精确速率[J]. 应用概率统计, 2022, 38(6): 807-824. DOI: 10.3969/j.issn.1001-4268.2022.06.002
XU Mingzhou, CHENG Kun. Precise Rates in the Generalized Law of the Iterated Logarithm in the Hilbert Space[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(6): 807-824. DOI: 10.3969/j.issn.1001-4268.2022.06.002
Citation: XU Mingzhou, CHENG Kun. Precise Rates in the Generalized Law of the Iterated Logarithm in the Hilbert Space[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(6): 807-824. DOI: 10.3969/j.issn.1001-4268.2022.06.002

在希尔伯特空间的一般重对数律的精确速率

Precise Rates in the Generalized Law of the Iterated Logarithm in the Hilbert Space

  • 摘要: 设\X,X_n,n\ge1\是取值于一般实可分希尔伯特空间(\mathbbH,\|\cdot\|)的具有协方差算子\Sigma的独立同分布随机变量列, 记S_n=X_1+X_2+\cdots+X_n, n\ge 1.对任意m>0和a_n=O((\ln\ln n)^-2m),我们得到了\pr\\|S_n\|\ge(\epsilon+a_n)\sigma\sqrtn(\ln\ln n)^m\的一类加权无穷序列的重对数律的精确速率.设\beta_n(\epsilon)=o(\sqrt1/\ln\ln n).我们也得到了对任意r>1和\alpha>d/2,\beginalign*&\lim_\epsilon\searrow\sqrtr-1\epsilon^2-(r-1)^\alpha+d/2\tsm_n=1^\infty\frac1n(\ln n)^r-2(\ln\ln n)^\alpha\pr\\|S_n\|\ge\sigma\psi(n)\epsilon+\beta_n(\epsilon)\\\=\;&\Gamma^-1(d/2)K(\Sigma)(r-1)^(d-2)/2\Gamma(\alpha+d/2)\endalign*成立, 若\ep X=0, \ep\|X\|^2(\ln\|X\|)^r-1<\infty.

     

    Abstract: Let \X,X_n,n\ge1\ be a sequence of i.i.d. random variables taking values in a real separable Hilbert space (\mathbbH,\|\cdot\|) with covariance operator \Sigma, set S_n=X_1+X_2+\cdots+X_n, n\ge 1. For every m>0 and a_n=O((\ln\ln n)^-2m), we study the precise rates in the generalized law of the iterated logarithm for a kind of weighted infinite series of \pr\\|S_n\|\ge(\epsilon+a_n)\sigma\sqrtn(\ln\ln n)^m\. Let \beta_n(\epsilon)=o(\sqrt1/\ln\ln n). We also prove that, for any r>1 and \alpha>-d/2, \beginalign* &\lim_\epsilon\searrow\sqrtr-1\epsilon^2-(r-1)^\alpha+d/2 \tsm_n=1^\infty\frac1n(\ln n)^r-2(\ln\ln n)^\alpha \pr\\|S_n\|\ge\sigma\psi(n)\epsilon+\beta_n(\epsilon)\\\ =\;&\Gamma^-1(d/2)K(\Sigma)(r-1)^(d-2)/2\Gamma(\alpha+d/2) \endalign* holds if \ep X=0, \ep\|X\|^2(\ln\|X\|)^r-1<\infty.

     

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