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Gaussian sample limsup at logarithmic scale (limsupn→∞​Xn2​/logn=2)

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Probability theory Borel-Cantelli lemmas
Created 2026-10-14 Updated 2026-11-05  0 By others on same topic  0 Discussions Create my own version
For independent standard normal random variables Xn​, the displayed limit superior equals two almost surely. The Mills ratio asymptotic gives, for a>0,
P(Xn2​>alogn)∼πa2​​logn​n−a/2​.
(1)
The series converges for a>2 and diverges for 0<a≤2. The two Borel-Cantelli lemmas, applied at countably many thresholds approaching two, give the result. In particular, the value two is also a threshold exceeded infinitely often, despite being the almost-sure limit superior.

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  • Past exam of the mathematics course of the University of Cambridge / 2008 / iii / Paper 34 / 2 / c / Solution

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