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A converse to the log-log law for Martingales
Published online by Cambridge University Press: 09 April 2009
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For sums of independent and identically distributed random variables xn, the HartmanWintner law of the iterated logarithm is equivalent to xn ∈ L2. We show that this is also true when the xn, form a stationary, ergodic martingale difference sequence. This is accomplished by extending a theorem of Volker Strassen to the present context.
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- Copyright © Australian Mathematical Society 1974
References
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