The asymptotic distribution of self-normalized triangular arrays

DOI10.1007/S10959-005-7529-ZMaRDI QIDQ2576803zbMATH OpenOpenAlexFDO

Authors David M. Mason

Publication date 14 December 2005

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-005-7529-z

zbMATH Keywords

asymptotic normalityinfinite divisibilityself-normalized sumsstochastic compactnessStudent \(t\)-statistic

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20)

Review text

Necessary and sufficient conditions for asymptotic normality of self-normalized partial sums of independent random variables from an infinitesimal triangular array are established. In particular, for independent and identically distributed random variables a new proof of a result by \textit{E. Giné} et al. [Ann. Probab. 25, No. 3, 1514--1531 (1997; Zbl 0958.60023)] is given, which is based on a stochastic compactness result. The presented results can also be applied for the Student \(t\)-statistic.

Recommendations

• On the asymptotic normality of self-normalized sums
• When is the Student \(t\)-statistic asymptotically standard normal?
• Limit distributions of Studentized means.
• On self-normalized sums
• scientific article; zbMATH DE number 434659

Cites work

• A probabilistic approach to the asymptotic distribution of sums of independent, identically distributed random variables
• A Theorem on Products of Random Variables, With Application to Regression
• Approximation theorems for independent and weakly dependent random vectors
• Bootstrapping the Student t-statistic
• scientific article; zbMATH DE number 1639863 (Why is no real title available?)
• scientific article; zbMATH DE number 3716479 (Why is no real title available?)
• scientific article; zbMATH DE number 3734847 (Why is no real title available?)
• scientific article; zbMATH DE number 3620754 (Why is no real title available?)
• scientific article; zbMATH DE number 3359478 (Why is no real title available?)
• scientific article; zbMATH DE number 3090543 (Why is no real title available?)
• Limit distributions of self-normalized sums
• Limit distributions of Studentized means.
• On the LIL for self-normalized sums of IID random variables
• The class of limit laws for stochastically compact normed sums
• Tightness of the Student \(t\)-statistic
• When does a randomly weighted self-normalized sum converge in distribution?
• When is the Student \(t\)-statistic asymptotically standard normal?

Cited in

(16)

• When is the Student \(t\)-statistic asymptotically standard normal?
• Self-normalization: taming a wild population in a heavy-tailed world
• On necessary and sufficient conditions for the self-normalized central limit theorem
• On the \(T\)-test
• Uniform asymptotic normality of self-normalized weighted sums of random variables
• On the asymptotic normality of self-normalized sums
• The Hurst phenomenon and the rescaled range statistic
• Erratum to: The asymptotic distribution of self-normalized triangular arrays
• Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
• A self-normalized central limit theorem for a \(\rho\)-mixing stationary sequence
• An integral formula for the distribution of self-normalized Gaussian random samples
• Refined self-normalized large deviations for independent random variables
• scientific article; zbMATH DE number 7703256 (Why is no real title available?)
• Self-normalized sums in free probability theory
• Central limit theorem for linear processes with infinite variance
• Limit theorems for self-normalized linear processes

This page was built for publication: The asymptotic distribution of self-normalized triangular arrays

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2576803)