Exact convergence rate and leading term in central limit theorem for student's t statistic
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 n⁻¹/²,...[Show more]
|Collections||ANU Research Publications|
|Source:||Annals of Probability|
|01_Hall_Exact_Convergence_Rate_2004.pdf||155.55 kB||Adobe PDF|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.