Khinchin's law of the iterated logarithm

E378993

Khinchin's law of the iterated logarithm is a fundamental result in probability theory that precisely characterizes the almost-sure fluctuations of partial sums of independent random variables on the scale of the square root of twice the product of their variance and the iterated logarithm of the sample size.

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Statements (46)

Predicate Object
instanceOf law of the iterated logarithm ⓘ
probability theorem ⓘ
result in probability theory ⓘ
appliesTo independent identically distributed random variables with zero mean ⓘ
random variables with finite nonzero variance ⓘ
assumes finite second moment ⓘ
identical distribution of the summands ⓘ
independence of the summands ⓘ
characterizes almost-sure fluctuations of partial sums of independent random variables ⓘ
comparesWith central limit theorem scaling sqrt(n) ⓘ
strong law of large numbers scaling n ⓘ
concerns almost sure convergence properties ⓘ
partial sums of random variables ⓘ
describes asymptotic behavior of normalized partial sums ⓘ
limiting envelope of normalized random walk paths ⓘ
field probability theory ⓘ
stochastic processes ⓘ
gives exact liminf behavior of normalized partial sums ⓘ
exact limsup behavior of normalized partial sums ⓘ
givesInformationOn maximal fluctuations of partial sums ⓘ
oscillatory behavior of sums around zero ⓘ
historicalPeriod early 20th century ⓘ
implies liminf of S_n divided by sqrt(2 σ² n log log n) equals -1 almost surely ⓘ
limsup of S_n divided by sqrt(2 σ² n log log n) equals 1 almost surely ⓘ
isFormulatedFor partial sums S_n = X_1 + ... + X_n ⓘ
isRelatedTo Brownian motion ⓘ
Donsker's invariance principle ⓘ
Hartman–Wintner law of the iterated logarithm ⓘ
Kolmogorov's law of the iterated logarithm ⓘ
functional law of the iterated logarithm ⓘ
isSpecialCaseOf Kolmogorov's law of the iterated logarithm ⓘ
isUsedIn asymptotic analysis of stochastic processes ⓘ
empirical process theory ⓘ
limit theory of random walks ⓘ
probabilistic number theory ⓘ
statistics of extremes of partial sums ⓘ
namedAfter Aleksandr Khinchin ⓘ
normalizationInvolves square root of 2 σ² n log log n ⓘ
refines central limit theorem ⓘ
strong law of large numbers ⓘ
requires nondegenerate variance ⓘ
scaleOfFluctuations square root of twice the variance times the iterated logarithm of sample size ⓘ
strengthens information provided by the central limit theorem about fluctuations ⓘ
information provided by the strong law of large numbers about convergence ⓘ
typeOfLimit almost sure limit theorem ⓘ
usesFunction iterated logarithm log log n ⓘ

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Referenced by (4)

Full triples — surface form annotated when it differs from this entity's canonical label.

Aleksandr Khinchin → notableWork → Khinchin's law of the iterated logarithm ⓘ
Aleksandr Khinchin → notableIdea → Khinchin's law of the iterated logarithm ⓘ
Aleksandr Khinchin → notableFor → Khinchin's law of the iterated logarithm ⓘ
subject linked to: Khinchin
Khinchin's law of the iterated logarithm → isRelatedTo → Hartman–Wintner law of the iterated logarithm ⓘ
linked to: Khinchin's law of the iterated logarithm