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A general Hsu-Robbins-Erdos type estimate of tail probabilities of sums of independent identically distributed random variables

Alexander R. Pruss

math.PRarXiv:math/0204022

Abstract

Let X1,X2,... be a sequence of independent and identically distributed random variables, and put Sn=X1+...+Xn. Under some conditions on the positive sequence τn and the positive increasing sequence an, we give necessary and sufficient conditions for the convergence of Σn=1∞ τn P(|Sn| εan) for all ε>0, generalizing Baum and Katz's (1965) generalization of the Hsu-Robbins-Erdos (1947, 1949) law of large numbers, also allowing us to characterize the convergence of the above series in the case where τn=n-1 and an=(n n)1/2 for n 2, thereby answering a question of Spataru. Moreover, some results for non-identically distributed independent random variables are obtained by a recent comparison inequality. Our basic method is to use a central limit theorem estimate of Nagaev (1965) combined with the Hoffman-Jorgensen inequality (1974).

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