The Law of the Iterated Logarithm for Linear Processes Generated by a Sequence of Stationary Independent Random Variables under the Sub-Linear Expectation

Abstract

In this paper, we obtain the law of iterated logarithm for linear processes in sub-linear expectation space. It is established for strictly stationary independent random variable sequences with finite second-order moments in the sense of non-additive capacity.

Keywords

• the law of the iterated logarithm
• linear process
• stationary sequences
• capacity
• sub-linear expectation