A Law of the Iterated Logarithm for Double Arrays of Independent Random Variables with Applications to Regression and Time Series Models

Abstract

Motivated by the problem of establishing laws of the iterated logarithm for least squares estimates in regression models and for partial sums of linear processes, we prove a general $\log \log$ law for weighted sums of the form $\sum^\infty_{i=-\infty} a_{ni}\varepsilon_i$, where the $\varepsilon_i$ are independent random variables with zero means and a common variance $\sigma^2$, and $\{a_{ni}: n \geq 1, -\infty < i < \infty\}$ is a double array of constants such that $\sum^\infty_{i=-\infty} a^2_{ni} < \infty$ for every $n$. Besides applying the general theorem to least squares estimates and linear processes, we also use it to improve earlier results in the literature concerning weighted sums of the form $\sum^n_{i=1} f(i/n)\varepsilon_i$.

Locations

• The Annals of Probability - View - PDF