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1. Introduction
Let0 < p < 2 and let {X , Xn , n ≥ 1} be a sequence of independent identically distributed (i.i.d.) random variables. Put
i=1 Xi for n ≥ 1. Then it is well known (see Baum and Katz, 1965) that the following statements are equivalent.
n
Sn =
Now let {X , Xn , n ≥ 1} be a sequence of pairwise i.i.d. random variables. For p = 1, Etemadi (1981) proved that (1.1) and
(1.2) are equivalent, and Chen et al. (2013) proved that (1.1) and (1.4) are equivalent. It is easy to prove that for 0 < p < 2,
(1.1) implies (1.3). But it is not known whether the converse holds true. On the other hand, Kruglov (1994) proved that
for a sequence of pairwise i.i.d. and non-negative random variables {X , Xn , n ≥ 1}, and any non-negative constant µ, the
0167-7152/$ – see front matter © 2013 Elsevier B.V. All rights reserved.
http://dx.doi.org/10.1016/j.spl.2013.05.009
1964 S.H. Sung / Statistics and Probability Letters 83 (2013) 1963–1968
Throughout this section, let {an , n ≥ 1} be a sequence of positive constants with an /n ↑ and let {X , Xn , n ≥ 1} be a
sequence of pairwise i.i.d. random variables. To prove our results, the following lemmas are needed.
Lemma 2.1. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑. Then the following properties hold.
(i) {
an , n ≥ 1} is a strictly increasing sequence with an ↑ ∞.
(ii) ∞ n=1 P (X > an ) < ∞ if and only if n=1 P (X > 2an ) < ∞.
∞
(iii) P (X > an ) < ∞ if and only if P (X > α an ) < ∞ for any α > 0.
∞ ∞
n =1 n=1
Proof. By the condition 0 < an /n ↑, we have an /n ≤ an+1 /(n + 1) and a1 ≤ an /n, which imply an < an+1 and a1 n ≤ an .
Hence (i) holds.
By (i), a2n < a2n+1 and so
∞
∞
P (X > an ) ≤ P (X > a1 ) + 2 P (X > a2n ). (2.1)
n =1 n =1
−k
Replacing an by 2 an , from the above statement, we have
∞
∞
P (X > an ) < ∞ ⇐⇒ P (X > 2−k an ) < ∞.
n=1 n=1
If α > 1, then α ≤ 2 for some k and so n=1 P (X > an ) ≥ (X > α an ) ≥ n=1 P (X > 2k an ). If 0 < α < 1, then
k
∞ ∞ ∞
n=1 P
α ≥ 2 for some k and so n=1 P (X > an ) ≤ n=1 P (X > α an ) ≤ ∞ n =1 P ( X > 2 an ). Hence (iii) holds.
−k
∞ ∞ −k
Lemma 2.2. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑. Let {X , Xn , n ≥ 1} be a sequence of pairwise i.i.d.
random variables. Then
∞
Xn
→ 0 a.s. if and only if P (|X | > an ) < ∞.
an n=1
Proof. Note that Xn /an → 0 a.s. if and only if P (|Xn |/an > ϵ i.o.) = 0 for all ϵ > 0. By the Borel–Cantelli lemma and the
second Borel–Cantelli lemma for pairwise independent events (for ∞example, see Theorem 4.2.5 in Chung (1974) or Theorem
2.18.5 in Gut (2005)), P (|Xn |/an > ϵ i.o.) = 0 is equivalent to n=1 P (|Xn |/an > ϵ) < ∞. The latter is also equivalent to
n=1 P (|Xn | > an ) < ∞ by Lemma 2.1. Hence the result is proved.
∞
S.H. Sung / Statistics and Probability Letters 83 (2013) 1963–1968 1965
i =1
n
≤ a− 1
n n ai P (ai−1 < |X | ≤ ai )
i =1
n
≤ iP (ai−1 < |X | ≤ ai )
i=1
∞
≤ iP (ai−1 < |X | ≤ ai )
i=1
∞
= P (|X | > ai ).
i=0
If the condition 0 < an /n ↑ in Lemma 2.3 is replaced by the stronger condition 0 < an /n ↑ ∞, then the result can be
improved.
Lemma 2.4. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑ ∞. If P (|X | > an ) < ∞, then nE |X |I
∞
n=1
(|X | ≤ an )/an → 0 as n → ∞.
Proof. As noted in the proof of Lemma 2.3, ai ≤ n−1 an i for 1 ≤ i ≤ n. By this and an /n ↑ ∞, we get
n
n nE |X |I (|X | ≤ an ) =
a− n nE |X |I (|X | ≤ aN ) + an n
a− E |X |I (ai−1 < |X | ≤ ai )
1 1 −1
i =N +1
n
≤ a−1 −1
n naN + an n ai P (ai−1 < |X | ≤ ai )
i=N +1
n
≤ a−1
n naN + iP (ai−1 < |X | ≤ ai )
i =N +1
∞
−→ iP (ai−1 < |X | ≤ ai ) → 0 as N → ∞,
n→∞
i=N +1
We now present two results on the complete convergence for pairwise i.i.d. random variables.
Theorem 2.1. Let {a n , n ≥ 1} be a sequence of positive constants with an /n ↑. Let {X , Xn , n ≥ 1} be a sequence of pairwise i.i.d.
Then
∞
n
∞
n
I ≤ n −1
P (|Xi | > an ) + n P (X I (|Xi | ≤ an ) − EXi I (|Xi | ≤ an )) > an ϵ
−1
n =1 i=1 n =1
i=1 i
∞
∞
n
≤ P (|X | > an ) + ϵ −2 n−1 a−
n
2
Var (Xi I (|Xi | ≤ an ))
n =1 n =1 i=1
∞
∞
≤ P (|X | > an ) + ϵ −2 n E |X | I (|X | ≤ an )
a−2 2
n =1 n =1
:= I1 + ϵ −2 I2 .
Since I1 < ∞ by the assumption, it remains to show that I2 < ∞.
By (2.3), we obtain
∞
n
I2 = a−
n
2
E |X |2 I (ai−1 < |X | ≤ ai )
n =1 i =1
∞
∞
= E |X |2 I (ai−1 < |X | ≤ ai ) a−
n
2
i =1 n =i
∞
≤2 E |X |2 I (ai−1 < |X | ≤ ai )ia−
i
2
i=1
∞
≤2 P (ai−1 < |X | ≤ ai )i
i=1
∞
=2 P (|X | > ai ). (2.4)
i=0
Hence I2 < ∞.
If the condition 0 < an /n ↑ in Theorem 2.1 is replaced by the stronger condition 0 < an /n ↑ ∞, then the following
result can be obtained.
Theorem 2.2. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑ ∞. Let {X , Xn , n ≥ 1} be a sequence of pairwise
n=1 P (|X | > an ) < ∞, then
∞
i.i.d. random variables. If
∞
J := n− 1 P max |Sk | > an ϵ < ∞ for all ϵ > 0.
1≤k≤n
n =1
Proof. By Lemma 2.4, nE |X |I (|X | ≤ an )/an < ϵ/2 for all large n. Then
∞
n
∞
k
J ≤ n −1
P (|Xi | > an ) + n P max Xi I (|Xi | ≤ an ) > an ϵ
−1
1≤k≤n
n =1 i=1 n =1 i=1
∞ ∞ n
≤ P (|X | > an ) + n− 1 P |Xi |I (|Xi | ≤ an ) > an ϵ
n=1 n =1 i =1
∞
∞
n
≤ P (|X | > an ) + C n− 1 P (|Xi |I (|Xi | ≤ an ) − E |Xi |I (|Xi | ≤ an )) > an ϵ/2 ,
n=1 n =1 i=1
where C > 0 is a positive constant. From the proof of Theorem 2.1, we obtain that J ≤ (1 + ϵ −2 8C ) n=0 P (|X | > an )
∞
< ∞.
We next present some results on the strong law of large numbers for pairwise i.i.d. random variables.
Theorem 2.3. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑. Let {X , Xn , n ≥ 1} be a sequence of pairwise i.i.d.
random variables. Then the following statements are equivalent.
Proof. First we prove that (i) ⇒ (ii). Let Yn = Xn I (|Xn | ≤ an ) for n ≥ 1. Then we have by Lemma 2.3 that
n
n
∞
a− E |Yi − EYi | ≤ 2a− n E |X |I (|X | ≤ an ) ≤ 2
E |Yi | ≤ 2na− P (|X | > an ) < ∞.
1 1 1
n n
i=1 i=1 n=0
n =1 n =1 n =0
Xn − EXn I (|Xn | ≤ an )
n n −1
1 an−1 1
= (Xi − EXi I (|Xi | ≤ ai )) − (Xi − EXi I (|Xi | ≤ ai )) → 0 a.s.
an an i = 1 an an−1 i=1
Remark 2.1. For a sequence {X , Xn , n ≥ 1} of pairwise i.i.d. random ∞variables with E |X | < ∞, Etemadi (1981) provedn that
n
( )/ < (| > ) < <
i =1 Xi − EX i n → 0 a.s. Note that E |X | ∞ is equivalent to n=1 P X | n ∞ , and E | X | ∞ implies i=1 EXi I
(|Xi | > i)/n → 0. Hence Etemadi’s strong law of large numbers follows from Theorem 2.3 with an = n.
If the condition 0 < an /n ↑ in Theorem 2.3 is replaced by the stronger condition 0 < an /n ↑ ∞, then we have the
following theorem.
Theorem 2.4. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑ ∞. Let {X , Xn , n ≥ 1} be a sequence of pairwise
i.i.d. random variables. Then the following statements are equivalent.
Proof. The proof that (ii) ⇒ (i) is essentially the same as that given in Theorem 2.3 and
will be omitted. To prove the
converse, assume that n=1 P (|X | > an ) < ∞. By Theorem 2.3, it suffices to prove that i=1 EXi I (|Xi | ≤ ai )/an → 0 as
∞ n
Theorem 2.5. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑ ∞ and a2n /an = O(1). Let {X , Xn , n ≥ 1} be a
sequence of pairwise i.i.d. random variables. Then the following statements are equivalent.
Proof. The implication (i) ⇒ (iv) follows from Theorem 2.2. The implication (iv) ⇒ (ii) follows from Lemma 2.4 in Sung
(2013). Since (i)–(iii) are equivalent by Theorem 2.4, the result is proved.
Remark
2.2. It is not known whether the following condition (v) is equivalent to any one of (i)–(iv) in Theorem 2.5.
(v) n=1 n−1 P (|Sn | > an ϵ) < ∞ for all ϵ > 0.
∞
Corollary 2.1. Let {an , n ≥ 1} be a sequence of positive constants with an /n ↑. Let {X , Xn , n ≥ 1} be a sequence of pairwise i.i.d.
random variables with E |X | = ∞. Then
n
|Xi | ∞
i =1
lim = 0 a.s. if and only if P (|X | > an ) < ∞, (2.7)
n→∞ an n=1
∞
|Sn |
lim sup = ∞ a.s. if and only if P (|X | > an ) = ∞. (2.8)
n→∞ an n=1
Proof. Assume that n=1 P (|X | > an ) < ∞. Since E |X | = ∞, we have an /n ↑ ∞. Hence the ‘if’ part of (2.7) follows by
∞
Theorem 2.4. To prove the converse, assume that limn→∞ i=1 |Xi |/an = 0 a.s. Then Xn /an → 0 a.s. and so the converse
n
holds by Lemma 2.2.
The ‘only if’ part of (2.8) follows directly from (2.7). To prove the converse, assume that n=1 P (|X | > an ) = ∞. Then
∞
n=1 P (|Xn | > α an ) = ∞ for any α > 0 by Lemma 2.1. Thus P (|Xn | > α an i.o.) = 1 by the second Borel–Cantelli lemma
∞
for pairwise independent events. Since
|Xn | |Sn − Sn−1 | |Sn | |Sn−1 |
= ≤ + ,
an an an an−1
we have that P (|Xn | > α an i.o.) ≤ P (|Sn | > α an /2 i.o.). Hence P (|Sn | > α an /2 i.o.) = 1 and so lim supn→∞ |Sn |/an ≥ α/2
a.s. Since α > 0 is arbitrary, we have lim supn→∞ |Sn |/an = ∞ a.s.
Remark 2.3. Note that lim supn→∞ |Sn |/an = ∞ a.s. is equivalent to P (|Sn | > α an i.o.) = 1 for any α > 0. Hence
Corollary 2.1 improves the corresponding result of Kruglov (2008).
Acknowledgment
The author would like to thank the referee for helpful comments and suggestions. This research was supported by Basic
Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education,
Science and Technology (2010-0013131).
References
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