Section 7.6

The law of the iterated logarithm

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Problem 7.6.1

A function ϕ(x)\phi (x) is said to belong to the 'upper class' if, in the notation of this section, P(Sn>ϕ(n)n i.o.)=0\mathbb {P}\left(S_{n} > \phi (n) \sqrt{n} \text{ i.o.}\right) = 0. A consequence of the law of the iterated logarithm is that αlog⁡log⁡x\sqrt{\alpha \log \log x} is in the upper class for all α>2\alpha > 2. Use the first Borel-Cantelli lemma to prove the much weaker fact that ϕ(x)=αlog⁡x\phi (x) = \sqrt{\alpha \log x} is in the upper class for all α>2\alpha > 2, in the special case when the XiX_{i} are independent N(0,1)N(0,1) variables.

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