On the heavy-tailedness of Student's t-statistic

DOI10.3150/10-BEJ262zbMATH Open1284.60033arXiv1102.2072MaRDI QIDQ637101FDOQ637101

Fredrik Jonsson

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let ${X_i}_{igeq1}$ be an i.i.d. sequence of random variables and define, for $ngeq2$, [T_n=cases{n^{-1/2}hat{sigma}_n^{-1}S_n,quad hat{sigma}_n>0,cr 0,quad hat{sigma}_n=0,}with S_n=sum_{i=1}^nX_i, hat{sigma}^2_n=frac{1}{n-1}sum_{i=1}^n(X_i-n^{-1}S_n)^2.] We investigate the connection between the distribution of an observation $X_i$ and finiteness of $mathrmE|T_n{|}^r$ for $(n,r)inmathbb{N}_{geq2}imesmathbb{R}^{+}$. Moreover, assuming $T_{n}stackreldlongrightarrowT$, we prove that for any $r>0$, $li{m}_{noinfty}mathrmE|T_n{|}^r=mathrmE|T{|}^r<infty$, provided there is an integer $n_0$ such that $mathrmE|T_{n_0}{|}^r$ is finite.

Full work available at URL: https://arxiv.org/abs/1102.2072

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zbMATH Keywords

robustness\(t\)-test\(t\)-distributionsfiniteness of momentsStudent's \(t\)-statistic

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Title not available (Why is that?)
• When is the Student \(t\)-statistic asymptotically standard normal?
• Limit distributions of Studentized means.
• On Student's 1908 Article “The Probable Error of a Mean”
• Probability: A Graduate Course

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