Communications in Statistics - Theory and Methods

ISSN: 0361-0926 (Print) 1532-415X (Online) Journal homepage: http://www.tandfonline.com/loi/lsta20

A version of the Kolmogrov–Feller weak law of

large numbers for maximal weighted sums of
random variables

H. Naderi, P. Matuła, M. Amini & H. Ahmadzade

To cite this article: H. Naderi, P. Matuła, M. Amini & H. Ahmadzade (2018): A version of the
Kolmogrov–Feller weak law of large numbers for maximal weighted sums of random variables,
Communications in Statistics - Theory and Methods, DOI: 10.1080/03610926.2018.1513146

To link to this article: https://doi.org/10.1080/03610926.2018.1513146

Published online: 08 Oct 2018.

Submit your article to this journal

View Crossmark data

Full Terms & Conditions of access and use can be found at

http://www.tandfonline.com/action/journalInformation?journalCode=lsta20
COMMUNICATIONS IN STATISTICS—THEORY AND METHODS
https://doi.org/10.1080/03610926.2018.1513146

A version of the Kolmogrov–Feller weak law of large

numbers for maximal weighted sums of random variables
H. Naderia, P. Matułab, M. Aminic, and H. Ahmadzadea
a
Department of Statistics, University of Sistan and Baluchestan, Zahedan, Iran; bInstitute of
Mathematics, Marie Curie-Skłodowska University, pl. M.C.-Skłodowskiej 1, 20-031 Lublin, Poland;
c
Department of Statistics, Faculty of Mathematical Sciences, Ferdowsi University, Mashhad, Iran

ABSTRACT ARTICLE HISTORY

In this paper we establish Kolmogrov–Feller weak law of large num- Received 6 March 2018
bers for maximal weighted sums of i.i.d. random variables. Accepted 14 August 2018

1. Introduction
It is well known that a sequence of independent and identically distributed (i.i.d.) ran-
dom variables satisfies the Kolmogrov–Feller weak law of large numbers (WLLN) i.e.
Xn
Xk nEX1 I½jX1 j  n
k¼1
nPðjX1 j > nÞ ! 0 if and only if !0 in probability
n
For historical details on the Kolmogrov–Feller WLLN and its extensions and
improvements we refer the reader to Petrov (1995) and Yuan an Hu (2015).
Jajte (2003) studied a large class of summability methods defined as follows: it is said
that a sequence fXn ; n  1g of r.v.’s is almost surely summable to a r.v. X by the
method (h, g) if
1 X n
1
Xk ! X a:s:; n ! 1
g ðnÞ k¼1 hðkÞ

For a sequence fXn ; n  1g of i.i.d. random variables Jajte proved that

fXn EXn I½jXn j  /ðnÞ; n  1g is almost surely summable to 0 by the method (h, g) if
and only if E/1 ðjX1 jÞ<1 (/1 is inverse of /), where g, h and /ðyÞ ¼ gðyÞhðyÞ are
functions satisfying some additional conditions. The most up-to-date survey on this
matter may be found in Fazekas et al. (2017) and Naderi et al. (2016).
In the next section we will present our main results which are devoted to the WLLN
in the Kolmogrov-Feller version for weighted sums of i.i.d random variables. We will
study sequences summable by the method (h, g) described above.

CONTACT H. Naderi h.h.naderi@gmail.com.

ß 2018 Taylor & Francis Group, LLC
2 H. NADERI ET AL.

2. Weak Law of Large Numbers

At the beginning we recall the following definition of regularly varying functions (see
Bingham et al. (1987)).
Definition 1. A measurable function U : ½a; 1Þ ! ð0; 1Þ; a 2 R , is called regularly
varying at infinity with exponent q, denoted as U 2 RVðqÞ, if for all t > 0;
U ðtxÞ
lim ¼ tq
x!1 U ðxÞ
If q ¼ 0 then we say that U is slowly varying at infinity and write U 2 SV.
We start with the assumptions which will be imposed on our weights. Let g :
½0; 1Þ ! R and h : ½0; 1Þ ! R be nonnegative functions and let us put /ðyÞ ¼
gðyÞhðyÞ. Assume that the following conditions are satisfied:

(A1) h is nondecreasing and / is strictly increasing with /ð½0; 1ÞÞ ¼ ½0; þ1Þ,
(A2) there exists a constant b > 0 such that

Xn
1 n
b 2
i¼1
h ðiÞ
2 h ðnÞ

In the following, we will also use the notation m1 ðnÞ ¼ EX1 I½jX1 j  /ðnÞ:
Furthermore aðxÞbðxÞ means aðxÞ=bðxÞ ! 1; as x ! 1:
Let us state our main result.
Theorem 1. Let g, h and /, satisfy the conditions (A1) and (A2). Let fXn ; n  1g be a
sequence of i.i.d. random variables such that PðjX1 j > xÞ 2 RVðqÞ , for some q  2 .
Then
 
lim nP jX1 j > /ðnÞ ¼ 0 (1)
n!1

if and only if
0   1
X k
m 
 X ðnÞ 
lim P@ max   > eg ðnÞA ¼ 0;
i 1
forall e > 0; (2)
n!1 1kn h ði Þ 
i¼1

Proof. Suppose that ð1Þ holds. For k  1, define

X
k
Xi m1 ðnÞ X
k 
X i m1 ðnÞ
Sk ¼ ; S k ¼
i¼1
hðiÞ i¼1
hðiÞ

where X  i ¼ Xi I½jXi j  /ðnÞ.

It is easy to see that for every e > 0,
  X n
   
P max jSk j > eg ðnÞ  P jXi j > /ðnÞ þ P max jS k j > eg ðnÞ ¼: I þ II:
1kn 1kn
i¼1

It is clear, by (1), that I ! 0, as n ! 1. By the Kolmogorov inequality and (A2) we

get
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 3

0   1  
X k
m ð Þ  1 X n
1 X n
EXi
2
@  X i 1 n  A Var Xi
II ¼ P max   > eg ðnÞ  2 2 
1kn  hðiÞ  e g ðnÞ i¼1 h2 ðiÞ e2 g 2 ðnÞ i¼1 h2 ðiÞ
i¼1

b n 2 b n  
 EX1 ¼ EjX1 j2 I jX1 j  /ðnÞ
e2 /2 ðnÞ e2 /2 ðnÞ
ð /ðnÞ
n  
C 2 yP jX1 j > y dy:
/ ðnÞ 0
(3)
Since PðjX1 j > xÞ 2 RVðqÞ, from Theorem 1.5.11(i) in Bingham et al. (1987), it fol-
lows that there exists a constant C > 0 such that
ð /ðnÞ
   
yP jX1 j > y dy  C/2 ðnÞP jX1 j > /ðnÞ
0

which, in the light of ð3Þ and ð1Þ, imply ð2Þ.

Now we assume that the condition ð2Þ holds. From (A1) one can easily get
jXk m1 ðnÞj 1 jXk m1 ðnÞj 1
max  max  2 max jSk j
1kn /ðnÞ 1kn g ðnÞ ð
hk Þ 1kn g ðnÞ
Furthermore, from the inequality
 

e
P max jXk  m1 ðnÞj > /ðnÞe  P max jSk j > g ðnÞ
1kn 1kn 2
we have Pðmax1kn jXk  m1 ðnÞj > /ðnÞeÞ ! 0; as n ! 1 and in consequence
    n
P max jXk  m1 ðnÞj > /ðnÞe ¼ 1 1  P jX1  m1 ðnÞj > /ðnÞe ! 0; as n ! 1:
1kn

Therefore from Lemma A.4.2 in Gut (2013) it follows that

 
lim nP jX1  m1 ðnÞj > /ðnÞe Þ¼ 0 (4)
n!1

Due to the fact that for m1 ðnÞ ¼ EðX1 I½jX1 j  /ðnÞÞ we have jm1 ðnÞj  /ðnÞ and by
the inequality jx  yj  jxjjyj with x ¼ X1 and y ¼ m1 ðnÞ , we get jX1  m1 ðnÞj 
jX1 jjm1 ðnÞj  jX1 j/ðnÞ. Thus
   
P jX1  m1 ðnÞj > e/ðnÞ  P jX1 j > ðe þ 1Þ/ðnÞ (5)
and in view of PðjX1 j > xÞ 2 RVðqÞ we have
  q  
P jX1 j > ðe þ 1Þ/ðnÞ ðe þ 1Þ P jX1 j > /ðnÞ
Therefore ð4Þ and ð5Þ imply limn!1 nPðjX1 j > /ðnÞÞÞ ¼ 0

3 Concluding remarks and examples

Let us begin with a straightforward corollary to our main result.
4 H. NADERI ET AL.

Corollary 1. Let g, h and /, satisfy the conditions ðA1Þ and ðA2Þ. Let fXn ; n  1g be a
sequence of independent identically distributed random variables such that PðjX1 j > xÞ 2
RVðqÞ, for some q  2 and f/ðnÞ n ; n  1g be an increasing sequence. If limn!1 /ðnÞ
PðjX1 j > /ðnÞÞ ¼ 0; then (2) is satisfied.
Proof. Since nPðjX1 j > /ðnÞÞ ¼ /ðnÞ
n
/ðnÞPðjX1 j > /ðnÞÞ ! 0 , hence the conclusion
follows from the Theorem 1.
Let us comment on the functions satisfying (A1) and (A2).

Remark 1. Let us consider the power function hðxÞ ¼ xa , then the requirement ðA2Þ is
valid with 0  a< 12 . By using the Proposition 1.5.8 in Bingham et al. (1987) we can
prove that the weights hðxÞ ¼ ðlnðxÞÞa with a 2 R satisfy also ðA2Þ (to be precise
hðxÞ ¼ ðlnðxÞÞa for x  e and hðxÞ ¼ x=e for 0  x<e). In these cases it would be suffi-
cient to take as the function g(x) any increasing function to have the condition
ðA1Þ fulfilled.
From this remark and Theorem 1 we get the following corollaries.

Corollary 2. Let fXn ; n  1g be a sequence of i.i.d. random variables such that

PðjX1 j > xÞ 2 RVðqÞ, for some q  2. Then for some 0  a< 12 and b > 0,
 
lim nP jX1 j > naþb ¼ 0 if and only if
n!1

1 X k
Xi m1 ðnÞ
max ! 0 in probability; as n ! 1
1kn nb
i¼1
ka

Now, let us consider sequences of random variables satisfying our requirements.

Example 1. Suppose that fXn ; n  1g is a sequence of independent random variables

with common distribution function
8
<  e p 1
1 x ; x > e;
FX1 ðxÞ ¼ ðlnðxÞÞq
:
0; otherwise
with p  2 and q > 0. It is easy check that PðjX1 j > xÞ 2 RVðpÞ , and with 0  a< 12
and b > 0; limn!1 nPðjX1 j > naþb Þ ¼ 0 for ða þ bÞp  1; hence this sequence satisfies
the assumptions of Corollary 2.

Corollary 3. Let fXn ; n  1g be a sequence of independent identically distributed random

variables such that PðjX1 j > xÞ 2 RVðqÞ for some q  2 . Then, for some a 2 R and
b > 0,
 
lim nP jX1 j > nb ðlnðnÞÞa ¼ 0 if and only if
n!1

1 X k
Xi m1 ðnÞ
max ! 0 in probability; as n ! 1
1kn nb
i¼1
ðlnðiÞÞa
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 5

Example 2. Consider a sequence fXn ; n  1g of independent and identically random var-

iables with PðjX1 j > xÞxc for some c 2 ð0; 2 . It is obvious that PðjX1 j > xÞ 2
RVðcÞ . Since limn!1 nPðjX1 j > nb ðlnðnÞÞa Þ ¼ 0 for a > 0 and cb  1 , hence this
sequence illustrates the application of Corollary 3.

Remark 2. Our assumption on the regular variation of the tail behavior of the distribu-
tion allows us to obtain for necessary and sufficient conditions for the convergence of
weighted sums for fairly large class of weights. In particular for the weights considered
by Deo and Truax (1968).

References
Bingham, N.H., G.M. Goldie, and T.Teugels. 1987. Regular varying. Cambridge University, Press
Cambridge.
Deo,C.M., and D.R. Truax. 1968. A note on the weak law, The Annals of Mathematical Statistics,
39 (6), 2159–2160.
Fazekas, I., P. Matuła, and M. Ziemba. 2017. A note on the weighted strong law of large numbers
under general conditions, Publicationes Mathematicae Debrecen, 90 (3-4), 373–386.
Gut, A. 2013. Probability: A graduate course. Second edition. Springer.
Jajte, R. 2003. On the strong law of large numbers, The Annals of Probability, 31 (1), 409–412.
Naderi, H., P. Matuła, M. Amini, and A. Bozorgnia. 2016. On stochastic dominance and the
strong law of large numbers for dependent random variables, RACSAM, 110 (2), 771–782.
Petrov, V.V. 1995. Limit theorems of probability theory – Sequences of independent random varia-
bles. Clarendon Press, Oxford.
Yuan, D., and X. Hu. 2015. A conditional version of the extended Kolmogrov-Feller weak law of
large numbers, Statistics and Probability Letters, 97, 99–107.