The limsup law for normalized long-range dependent processes

Let p1p\geq 1, and let Yn,pY_{n,p} and σn,p\sigma_{n,p} denote the process and normalizing sequence defined in the paper. Limsup conjecture.

lim supnσn,p1(loglogn)p/2Yn,p=c(β,p)almost surely.\limsup_{n\to\infty}\sigma_{n,p}^{-1}(\log\log n)^{-p/2}Y_{n,p}=c(\beta,p)\quad\text{almost surely}.

This conjecture would identify the optimal iterated-logarithm rate for the processes considered and, in particular, would support removing the factor (logn)1/2(\log n)^{1/2} from the relevant uniform bound at least when β<2/3\beta<2/3.

Sources & referencesView supporting material

Primary source

Miklós Csörgő and Rafal Kulik, “Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences”, arXiv:0802.1025 (2008).

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