Law of the iterated logarithm for stationary processes

Ou Zhao, Michael Woodroofe
2008 Annals of Probability  
There has been recent interest in the conditional central limit question for (strictly) stationary, ergodic processes ...,X_-1,X_0,X_1,... whose partial sums S_n=X_1+...+X_n are of the form S_n=M_n+R_n, where M_n is a square integrable martingale with stationary increments and R_n is a remainder term for which E(R_n^2)=o(n). Here we explore the law of the iterated logarithm (LIL) for the same class of processes. Letting · denote the norm in L^2(P), a sufficient condition for the partial sums of
more » ... a stationary process to have the form S_n=M_n+R_n is that n^-3/2 E(S_n|X_0,X_-1,...) be summable. A sufficient condition for the LIL is only slightly stronger, requiring n^-3/2^3/2(n) E(S_n|X_0,X_-1,...) to be summable. As a by-product of our main result, we obtain an improved statement of the conditional central limit theorem. Invariance principles are obtained as well.
doi:10.1214/009117907000000079 fatcat:itv7weotirf73fvg2jjce6q2zq