A note on the normal approximation error for randomly weighted self-normalized sums

DOI10.1007/S10998-013-4789-8MaRDI QIDQ485552zbMATH OpenOpenAlexFDO

Authors Siegfried Hörmann, Yvik Swan

Publication date 9 January 2015

Published in Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.5812, http://orbi.ulg.ac.be/handle/2268/185292

zbMATH Keywords

heavy tailsself-normalized sumsempirical correlationnormal approximation errorStudent \(t\)-statistic

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Abstract: Let $$ and $$ be two independent random sequences. We obtain rates of convergence to the normal law of randomly weighted self-normalized sums ${\displaystyle }$ psi_n(�X,�Y)=sum_{i=1}^nX_iY_i/V_n,quad V_n=sqrt{Y_1^2+...+Y_n^2}. ${\displaystyle }$ These rates are seen to hold for the convergence of a number of important statistics, such as for instance Student's $t$-statistic or the empirical correlation coefficient.

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Cited in

(2)

• The moment of maximum normed randomly weighted sums of martingale differences
• When does a randomly weighted self-normalized sum converge in distribution?

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