On the last exit time and the number of exits of partial sums over a moving boundary

Ralph P. Russo

Statistics & Probability Letters, 1988, vol. 6, issue 6, 371-377

Abstract: Let X, X1, X2... be a sequence of i.i.d. random variables with EX = 0 and EX2 = 1. Let Sn = X1 + ... + Xn and define, for D> 0, the number of exits and the last exit time If D2 > 2 then the law of the iterated logarithm says that ND and LD are random variables having proper distributions. In this paper we investigate the moment behavior of g(ND) and g(LD) for various g.

Keywords: sums; of; random; variables; boundary; crossings; law; of; the; iterated; logarithm (search for similar items in EconPapers)
Date: 1988
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