Hall, Peter; Wang, Qiying
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]
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