P(I -ni < an for all n > in) = 1 - Pm# 1

Transcription

1 ITERATED LOGARITHM INEQUALITIES* By D. A. DARLING AND HERBERT ROBBINS UNIVERSITY OF CALIFORNIA, BERKELEY Communicated by J. Neyman, March 10, Introduction.-Let x,x1,x2,... be a sequence of independent, identically distributed random variables with mean 0, variance 1, and moment generating function sp(t) = E(eix) finite in some neighborhood of t = 0, and put s,, = xl+.* +X, Tn = sn/n. For any sequence of positive constants an, n > 1, let Pm = P(f > an for some n > in). The law of the iterated logarithm gives conditions on the sequence an which guarantee that Pm -* 0 as mn -a* c, e.g. it suffices that an > (2c log2 n/n) 1/2 for some c > 1 (we write log log n = log2 n, etc.), but says nothing about the rate at which Pm tends to 0. In the present note we give explicit upper bounds for Pm as a function of m for various sequences an, including sequences such that a,, - (2 log2 n/n) 1/2 as n a o, and for which Pm = O(1/log2 in). Such bounds have interesting statistical applications, based on the following considerations. Suppose yl,y2,... are i.i.d. with distribution depending on an unknown mean, and with known variance a2. Put Xn = (Yn - M)/a and define the interval In = Then (.n- aanagn + aan). P(,1 e In for all n > inr) = P(I -ni < an for all n > in) = 1 - Pm# 1 n asm- c. (1) Defining Jn = n Ij for n > m, we can therefore assert with probability > 1 - Pm m that for every n > mn the confidence interval J,,, of length. 2aan, contains,11 (cf. ref. 1). Example 1, Optional stopping: To test Ho: 1A =,io with a given type I error without fixing the sample size in advance, reject Ho if for any desired N > In, Jio X IN Then PH, (reject Ho) < P, which can be made arbitrarily small by taking in large enough. The power function P5,(reject Ho) is bounded below by a calculable function of ja which tends rapidly to 1 as A- o o Example 2, Tests with uniformly small error probability: To test Hi: JA < jo against H2: At > 1o, stop sampling with N = first n > m such that juoz In, and accept H1 or H2 according as IN is to the left or to the right of 1Ao. The error probability is then < Pm and EAN < o for all /.L #,u (cf. ref. 3). Example 3, Tests with zero type II error: To test Ho: = Ao against H1: A > /Uo, reject Ho with N = first n > m such that In is to the right of IAO. Then PH, (reject Ho) < Pm and for yt > /Ao, P,,(reject Ho) - 1. (EJSN < o for,a > I.'o but PHO(N = co) > 0, which may be an advantage.) The case in which a2 is unknown can also be treated. The applicability of bounds on the Pm of (1) goes beyond the usual statistical decision framework in which a stopping rule and single terminal action are assumed. We proceed to derive the basic inequality (8) below. Under the assumptions of the first sentence of this section, let zn - e31n/' "(t) for any fixed t for which 1188

2 VOL..57, 1967 MATHEMATICS: DARLING AND ROBBINS 1189 sp(t) < co. Then z,, is a nonnegative martingale with expected value 1. A simple martingale inequality asserts that for any positive constant b, 1 P(z. >b forsomen 1) <. (2) (G. Haggstrom called it to our attention and has independently considered using it to obtain simultaneous confidence intervals.) Putting b = emt'21 for any fixed m and t > 0 gives ( Sn > Mt + n log sp(t) for some n > 1 _e-mt' /2, (3) 2f t/ Define hd(t)e 1 logp(t) (-*.las t 0); (4) 2 t then P(xn > t h(t) for some n > m) < emt212 (5) Let mn -o c be any increasing sequence of positive constants and tl any sequence of positive constants, i > 1. From (5) we have for any integer j > 1, P(tn > tih(to) for some mi < n < mn+l, i > j) < co E e- it,2/2 = Qj, say. (6) Defining the sequence of constants b. for n > ml by putting bn = tsh(t1) for all n such that mni < n < mi+i (i > 1), (7) we can write (6) in the form P(tn > bn for some n > m;). Qj (j _ 1). (8) We obtain various iterated logarithm inequalities by making different choices of the sequences mi, tj that enter into (8). 2. A Special Case of (8).-Put for i _ 3 mi = exp(i/log i), (9) tj = (2 log i + 4 log2 i + 2 log A)112.nMi-l2, (10) where A is any positive constant. Then from (6), AXi=ji(logi)2 A log(j1 /2) - Oasj cx (11) We shall now find an upper bound for the be of (8). A little algebra shows that for mi < n < mj+j, log i < log2 n +log n + log 2, log2 i. log3 n + log 2,

3 1190 MATHEMATICS: DARLING AND ROBBINS PROC. N. A. S. Hence from (10) tj < (2 1og2 n + 6 1og3 n + 6 log log A)12n-1/2e(2 10g2 n)' = f(n), say, (12) and from (7) b. < f(n)h(v.), (13) where Vn (= the t1 of (7)) is some constant such that 0 < Vn < f(n) - (2 log2n/n)112 as n - o. (14) For the normal (0,1) distribution, h(t) = 1. For coin tossing with p = 1/2 and more generally whenever (p(t) _ etl/2,h(t). 1 and we can omit the term h(v.) in (13). In any case, since h(t) 1 as t 0 and f(n) 0 as n Xo h(vn) 1 as n -* c. From (6), (7), and (13) we have forj _ 3 P(t. _ f(n)h(vvn) for some n > elog j) < Qj (15) By com- where f(n) is defined by (12), h(t) by (4), Qj by (11), and vn satisfies (14). bining (15) with the analogous inequality for - tn we obtain P( -n >_ f(n)h(vn) for some n > elok). 2Qj (16) where now (14) is replaced by 0<jvnj <f(n). (17) Putting an = f(n)h(vn) we have an inequality for the Pm of (1) with an (2 log2 n/n)112 and for which Pm O(1/log2 m). 3. Other Choices.-Replacing (10) by tj = (2 c log i + 2 log A) 1/2.m-l/2 (18) for some c > 1, we find the same results (15) and (16) as before, where now f(n) = (2c log2 n + 2c log3 n + 2c log log A) 1/2n-1/2e(2 1og2 n) 1 (19) and -A(c- 1) j - 1/2) (20) A somewhat different result is obtained by putting mn = ai where a is any number > 1, (21) and retaining (18) for to. We obtain from (3) for j > 1 P >tn 1 +-ND/ A(C f(n) for some n > ai) = - 1) (j l/)c (22) where now f(n) = (2c log2 n - 2c log2 a + 2 log A)112n-1/2, (23)- and D= 1 + 2(h(v.) - 1)+ for 0 < v, < a1/2 f(n) (If so~t) _et212, then Do-1.) (24) (If (p(t) < e12/2,then D, =1.

4 VOL. 57, 1967 MATHEMATICS: DARLING AND ROBBINS An Extension.-There is an immediate extension of the preceding results to additive processes. Let X(r) be an infinitely divisible process, T > 0, with X(O) = 0, and let E(X(1)) = 0, E2(X(1)) = 1, and suppose X(1) has a moment generating function sp(t) = E(etX(1)) in some neighborhood of t = 0. Suppose X(r) is separable. A necessary and sufficient condition for X(T) to be such a process is that log E(etX(T)) = Tg(t), where gw (e'x tx) df(x) 9(t) = J (ex- 1 - ) and F(x) is a distribution function whose moment generating futiction exists in some neighborhood of the origin. Then exp (tx(t) - rg(t)), T _ 0, is a positive martingale, and an almost literal repetition of the steps leading to (15) yields for j > 3 P( ) > f(t)h(vt) for some r > e < Q (25) where (2 log2 r+ 6 log3 + 6 log log A 1/2 f(t) = 2lg +6lg e2 10g2 T)~ h(t) = g(t) 2 t2 and v, < f(r), Qj as in (11). We remark that in the case of Brownian motion, where h(t) 1, there are inequalities due to Ito and McKean4 and Strassen,6 the latter giving asymptotic results for j co also. The bound Qj in (25) is of the same order of magnitude as their bounds, though the theorems are not, strictly speaking, comparable. 5. Remarks.-An inequality for the Pm of (1) should be obtainable from Chow's inequality2 (which generalizes (2) and ref. 5) without our subdivision of the n-axis by the points mti. Even within the framework of the present method, a great variety of inequalities can be obtained, and by a closer analysis minor improvements in the inequalities of Sections 2 and 3 are possible; for example, by letting rnj -o a little more slowly than in (9) we can replace the exponential factor of (12) by something closer to 1. In general, however, sharper inequalities for large n require a larger initial sample size m. In a subsequent issue of these PROCEEDINGS we shall give results analogous to the above for random variables for which the moment generating function does not exist; such results, based on different specializations of reference 2, are necessarily less sharp. We shall also give explicit bounds on the EN of Examples 2 and 3 above. * Supported in part by National Science Foundation grant GP Blum, J. R., and J. Rosenblatt, 'On some statistical problems requiring purely sequential sampling schemes," Ann. Inst. Stat. Math., 18, (1966). 2 Chow, Y. S., "A martingale inequality and the law of large numbers," Proc. Am. Math. Soc., 11, (1960).

5 1192 MATHEMATICS: DARLING AND ROBBINS PRoc. N. A. S. I Farrell, R. H., "Asymptotic behavior of expected sample size in certain one sided tests," Ann. Math. Stat., 35, (1964). 4 Ito, K., and H. P. McKean, "Diffusion processes and their sample paths," in Grundlehren der Mathematischen Wiasensehaften (Berlin: Springer, 1965), vol Rnyi, A., and J. H~jek, "Generalization of an inequality of Kolmogorov," Acta. Math. Acad. Sci. Hungar., 6, (1955). 6 Strassen, V., "Almost sure behavior of sums of independent random variables and martingales," Proc. Fifth Berk. Symp. (1965), in press.