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Asymptotics for multivariate \(t\)-statistic for random vectors in the generalized domain of attraction of the multivariate normal law. (English) Zbl 0862.62016

Summary: We define the appropriate analogue of Student’s \(t\)-statistic for multivariate data, and prove that it is asymptotically normal for random vectors in the Generalized Domain of Attraction of the Normal Law. This extends an earlier result of the author [J. Multivariate Anal. 49, No. 1, 41-54 (1994; Zbl 0796.62019)] where asymptotic normality was proved under a stronger hypothesis on the Domain of Attraction.

MSC:

62E20 Asymptotic distribution theory in statistics
62F12 Asymptotic properties of parametric estimators
60F05 Central limit and other weak theorems
62H12 Estimation in multivariate analysis

Citations:

Zbl 0796.62019
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References:

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