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

For $a>0$ and $n\ge 2$, let $A_n(a)=\{X_n^2>a\log n\}$. Symmetry of the standard normal distribution and the Mills ratio asymptotic just proved giveFor $a>2$ the series of these probabilities converges, since its terms are eventually bounded by a constant times the convergent p-series $n^{-a/2}$. For $0<a<2$ it diverges: choose $r$ strictly between $a/2$ and one, and use $(\log n{)}^{-1/2}\ge n^{-(r-a/2)}$ for sufficiently large $n$, reducing to the divergent p-series $n^{-r}$. At $a=2$ it still diverges, as the integral test givesFor $a>2$, the first Borel-Cantelli lemma makes $A_n(a)$ occur only finitely often. For $0<a\le 2$, independence of the random variables makes the events $A_n(a)$ independent, so the second Borel-Cantelli lemma makes them occur infinitely often almost surely. Apply these conclusions simultaneously at $a=2+1/k$ for positive integers $k$, and at $a=2$. On the resulting probability-one event, the limit superior is at most every $2+1/k$ and at least two. Therefore the Gaussian sample limsup at logarithmic scale is