Exact convergence rate and leading term in central limit theorem for Student's \(t\) statistic. (Q1879831)

Let a sequence af independent and identically distributed random variables be given. Student's statistic \(T\) with numerator centered at its expectation is considered. The leading term and its rate in a normal approximation to the distribution of \(T\) are described. The origin of the leading term and the way in which extremes affect the distribution of \(T\) are also studied. The leading term can be used to show that the exact rate of convergence over the whole real line is equivalent to the exact rate of convergence over very small sets, containing no more than three points. This number can be reduced to two.