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

作者：Hormann Siegfried^*; Swan Yvik

来源：Periodica Mathematica Hungarica, 2013, 67(2): 143-154.

DOI：10.1007/s10998-013-4789-8

• empirical correlation
• heavy tails
• normal approximation error
• self-normalized sums
• Student t-statistic

Let X = {X (n) } (na parts per thousand yen1) and Y = {Y (n) } (na parts per thousand yen1) be two independent random sequences. We obtain rates of convergence to the normal law of randomly weighted self-normalized sums . 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.

• 出版日期2013-12