Edgeworth Expansion for Student's $t$ Statistic Under Minimal Moment Conditions

Abstract

Recent advances in the theory of Edgeworth expansion allow rigorous estimation of remainder terms, under explicit regularity conditions. However, even in the important case of Student's $t$ statistic, the moment conditions required are unrealistically stringent. In this note we relax those conditions to the minimum needed to define terms in the Edgeworth expansion.