Law of the iterated logarithm for stationary processes

Ou Zhao, Michael Woodroofe

Published 2006-12-24, updated 2007-12-11Version 2

There has been recent interest in the conditional central limit question for (strictly) stationary, ergodic processes $...,X_{-1},X_0,X_1,...$ whose partial sums $S_n=X_1+...+X_n$ are of the form $S_n=M_n+R_n$, where $M_n$ is a square integrable martingale with stationary increments and $R_n$ is a remainder term for which $E(R_n^2)=o(n)$. Here we explore the law of the iterated logarithm (LIL) for the same class of processes. Letting $\Vert\cdot\Vert$ denote the norm in $L^2(P)$, a sufficient condition for the partial sums of a stationary process to have the form $S_n=M_n+R_n$ is that $n^{-3/2}\Vert E(S_n|X_0,X_{-1},...)\Vert$ be summable. A sufficient condition for the LIL is only slightly stronger, requiring $n^{-3/2}\log^{3/2}(n)\Vert E(S_n|X_0,X_{-1},...)\Vert$ to be summable. As a by-product of our main result, we obtain an improved statement of the conditional central limit theorem. Invariance principles are obtained as well.