Tightness of the Student \(t\)-statistic (Q1860595)

Let \(X_1, X_2, \ldots, \) be a sequence of non-degenerate, independent and identically distributed random variables. Let \(S_n=X_1+ \ldots + X_n\) and \( V_n^2 = X_1^2 + \ldots + X_n^2.\) This paper provides a simple necessary and sufficient condition for tightness of the self-normalized sum \(S_n/V_n\) and the associated Student \(t\)-statistic. This result clarifies a condition on the tightness of \(S_n/V_n\) needed by \textit{E. Giné, F. Götze} and \textit{D. Mason} [Ann. Probab. 25, No. 3, 1514-1531 (1997; Zbl 0958.60023)].