Abstract
Let $X_1\ldots,X_n, n \geq 1$, be independent, identically distributed random variables and consider the Student $t$-statistic $T_n$ based upon these random variables. Giné, Götze and Mason (1997) proved that $T_n$ converges in distribution to a standard normal random variable if and only if $X$ is in the domain of attraction of a normal random variable and$EX = 0$. We shall show that roughly the same holds true for the bootstrapped Student $t$- statistic $T_n^*$. In the process we shall disclose all the possible subsequential limiting laws of $T_^*n$. The proofs introduce a number of amusing tricks that may be of independent interest.
Citation
David M. Mason. Qi-Man. Shao. "Bootstrapping the Student t-Statistic." Ann. Probab. 29 (4) 1435 - 1450, October 2001. https://doi.org/10.1214/aop/1015345757
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