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Nate Eldredge
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The sharp general result in this direction is the classical law of the iterated logarithm (LIL). Suppose, after renormalizing if necessary, that the $x_n$ are iid with zero mean and unit variance. Then the LIL states that $$\limsup_{n \to \infty} \frac{X_N}{\sqrt{N \log \log N}} = \sqrt{2}, \quad \text{a.s.}$$ In your language, that says that with probability 1, $X_N$ is $O(\sqrt{N \log \log N})$, and that this cannot be improved to $O(\sqrt{N})$.

To be more careful, it says that for $P$-almost every $\omega$, there is a finite number $C(\omega)$ such that $|X_N(\omega)| \le C(\omega) \sqrt{N \log \log N}$ for all $N$.

LIL isn't a direct corollary of CLT, and I believe there are settings where either may hold while the other fails. So I don't think it's true that the CLT "implies" the result you desire, but in any case they are both true in your setting.

The sharp general result in this direction is the classical law of the iterated logarithm (LIL). Suppose, after renormalizing if necessary, that the $x_n$ are iid with zero mean and unit variance. Then the LIL states that $$\limsup_{n \to \infty} \frac{X_N}{\sqrt{N \log \log N}} = \sqrt{2}, \quad \text{a.s.}$$ In your language, that says that with probability 1, $X_N$ is $O(\sqrt{N \log \log N})$, and that this cannot be improved to $O(\sqrt{N})$.

To be more careful, it says that for $P$-almost every $\omega$, there is a finite number $C(\omega)$ such that $|X_N(\omega)| \le C(\omega) \sqrt{N \log \log N}$ for all $N$.

The sharp general result in this direction is the classical law of the iterated logarithm (LIL). Suppose, after renormalizing if necessary, that the $x_n$ are iid with zero mean and unit variance. Then the LIL states that $$\limsup_{n \to \infty} \frac{X_N}{\sqrt{N \log \log N}} = \sqrt{2}, \quad \text{a.s.}$$ In your language, that says that with probability 1, $X_N$ is $O(\sqrt{N \log \log N})$, and that this cannot be improved to $O(\sqrt{N})$.

To be more careful, it says that for $P$-almost every $\omega$, there is a finite number $C(\omega)$ such that $|X_N(\omega)| \le C(\omega) \sqrt{N \log \log N}$ for all $N$.

LIL isn't a direct corollary of CLT, and I believe there are settings where either may hold while the other fails. So I don't think it's true that the CLT "implies" the result you desire, but in any case they are both true in your setting.

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Nate Eldredge
  • 29.8k
  • 4
  • 101
  • 150

The sharp general result in this direction is the classical law of the iterated logarithm (LIL). Suppose, after renormalizing if necessary, that the $x_n$ are iid with zero mean and unit variance. Then the LIL states that $$\limsup_{n \to \infty} \frac{X_N}{\sqrt{N \log \log N}} = \sqrt{2}, \quad \text{a.s.}$$ In your language, that says that with probability 1, $X_N$ is $O(\sqrt{N \log \log N})$, and that this cannot be improved to $O(\sqrt{N})$.

To be more careful, it says that for $P$-almost every $\omega$, there is a finite number $C(\omega)$ such that $|X_N(\omega)| \le C(\omega) \sqrt{N \log \log N}$ for all $N$.