Feller's upper-lower class test in Euclidean space

Abstract

We provide an extension of Feller's upper-lower class test for the Hartman-Wintner LIL to the LIL in Euclidean space. We obtain this result as a corollary to a general upper-lower class test for ${\Gamma }_n{T}_n$ where $T_n={\sum }_{j=1}^n{Z}_j$ is a sum of i.i.d. d-dimensional standard normal random vectors and ${\Gamma }_n$ is a convergent sequence of symmetric non-negative definite $(d,d)$-matrices. In the process we derive new bounds for the tail probabilities of $d$-dimensional normally distributed random vectors.

26 pages, revised version (only some minor changes)