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arXiv · 1504.06398

Erdos-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for self-normalized martingales: a game-theoretic approach

Takeyuki Sasai·Kenshi Miyabe·Akimichi Takemura
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Abstract

We prove an Erdos-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for self-normalized martingales. Our proof is given in the framework of the game-theoretic probability of Shafer and Vovk. As many other game-theoretic proofs, our proof is self-contained and explicit.

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Takeyuki Sasai, Kenshi Miyabe, Akimichi Takemura. 2015-04-24. Erdos-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for self-normalized martingales: a game-theoretic approach. https://arxiv.org/abs/1504.06398

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