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April 2004 Exact convergence rate and leading term in central limit theorem for student’s t statistic
Peter Hall, Qiying Wang
Ann. Probab. 32(2): 1419-1437 (April 2004). DOI: 10.1214/009117904000000252

Abstract

The leading term in the normal approximation to the distribution of Student’s t statistic is derived in a general setting, with the sole assumption being that the sampled distribution is in the domain of attraction of a normal law. The form of the leading term is shown to have its origin in the way in which extreme data influence properties of the Studentized sum. The leading-term approximation is used to give the exact rate of convergence in the central limit theorem up to order n1/2, where n denotes sample size. It is proved that the exact rate uniformly on the whole real line is identical to the exact rate on sets of just three points. Moreover, the exact rate is identical to that for the non-Studentized sum when the latter is normalized for scale using a truncated form of variance, but when the corresponding truncated centering constant is omitted. Examples of characterizations of convergence rates are also given. It is shown that, in some instances, their validity uniformly on the whole real line is equivalent to their validity on just two symmetric points.

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Peter Hall. Qiying Wang. "Exact convergence rate and leading term in central limit theorem for student’s t statistic." Ann. Probab. 32 (2) 1419 - 1437, April 2004. https://doi.org/10.1214/009117904000000252

Information

Published: April 2004
First available in Project Euclid: 18 May 2004

zbMATH: 1060.62019
MathSciNet: MR2060303
Digital Object Identifier: 10.1214/009117904000000252

Subjects:
Primary: 60F05
Secondary: 62E20

Keywords: Berry–Esseen theorem , characterization of rate of convergence , domain of attraction , Edgeworth expansion , random norm , rate of convergence , self-normalized sum , Studentize

Rights: Copyright © 2004 Institute of Mathematical Statistics

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Vol.32 • No. 2 • April 2004
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