منابع مشابه
ON STANDARD NORMAL CONVERGENCE OF THE MULTIVARIATE STUDENT t-STATISTIC FOR SYMMETRIC RANDOM VECTORS
It is proved that if the multivariate Student t-statistic based on i.i.d. symmetric random vectors is asymptotically standard normal, then these random vectors are in the generalized domain of attraction of the normal law. Uniform integrability is also considered, even in the absence of symmetry.
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The leading term in the normal approximation to the distribution of Student’s t statistic is derived in a general setting, with the sole assumption being that the sampled distribution is in the domain of attraction of a normal law. The form of the leading term is shown to have its origin in the way in which extreme data influence properties of the Studentized sum. The leading-term approximation...
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Finite sample critical values of the rescaled range or R/S statistic may be obtained by bootstrapping. The empirical size and power performance of these critical values is good. Using the post blackened, moving block bootstrap helps to replicate the time dependencies in the original data. The Monte Carlo results show that the asymptotic critical values in Lo (1991) should not be used.
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Econometrics is an intellectual game played by rules based on the sampling distribution concept. Most students in our econometrics classes are uncomfortable because they don't know these rules, and so do not understand what is "going on" in econometrics. This article offers some explanations for this phenomenon, and suggestions for how this problem can be addressed. Instructors are encouraged t...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2001
ISSN: 0091-1798
DOI: 10.1214/aop/1015345757