student's statistic;
Berry-Esseen bound;
convergence rate;
central limit theorem;
self-normalized;
D O I:
暂无
中图分类号:
O21 [概率论与数理统计];
C8 [统计学];
学科分类号:
020208 ;
070103 ;
0714 ;
摘要:
We prove the Berry-Esseen bound for the Student t-statistic. Under the assumption of a third moment this bound coincides (up to an absolute constant) with the classical Berry-Esseen bound for the mean. In general the distribution of the Student statistic converges to the standard normal distribution function at least as fast as the distribution of the mean, and sometimes faster. For example, rates of convergence can be proved if the underlying distribution is in the domain of attraction of the normal law.
机构:
Moscow MV Lomonosov State Univ, Lab Math Stat, Dept Computat Math & Cybernet, Moscow 119992, RussiaMoscow MV Lomonosov State Univ, Lab Math Stat, Dept Computat Math & Cybernet, Moscow 119992, Russia