Strong law of large numbers for sums of products

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Abstract

Let X, Xn, n ≥ 1, be a sequence of independent identically distributed random variables. We give necessary and sufficient conditions for the strong law of large numbers n-k/p1≤i1<i2<⋯<ik≤n Xi1 Xi2 . . . Xik → 0 a.s. for k = 2 without regularity conditions on X, for k ≥ 3 in three cases: (i) symmetric X, (ii) P{X ≥ 0} = 1 and (iii) regularly varying P{|X| > x} as x → ∞, without further conditions, and for general X and k under a condition on the growth of the truncated mean of X. Randomized, centered, squared and decoupled strong laws and general normalizing sequences are also considered.

Original languageEnglish (US)
Pages (from-to)1589-1615
Number of pages27
JournalAnnals of Probability
Volume24
Issue number3
DOIs
StatePublished - Jul 1996

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Decoupling
  • Marcinkiewicz-Zygmund law
  • Maximum of products
  • Quadratic forms
  • Strong law of large numbers
  • U-statistics

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