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On the generalized domain of attraction of the multivariate normal law and asymptotic normality of the multivariate Student t-statistic

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  • Martsynyuk, Yuliya V.

Abstract

It is well-known that if a random vector X is in the generalized domain of attraction of the multivariate normal law (GDAN), then all its components are in the domain of attraction of the normal law (DAN) and, moreover, the Euclidean inner products of X with all the nonrandom vectors of unit Euclidean norm are also in DAN. However, these two implications are known to be nonreversible in general. In this paper, a condition is given under which these implications are proved to become reversible, and thus characterizations of GDAN. Large enough classes and an example of random vectors satisfying this condition are provided. Also, the multivariate Student t-statistic that is based on independent copies of a random vector X satisfying this condition is proved to be asymptotically standard normal only if X is in GDAN. A corollary to the thus established result parallels a previous resolution of this problem for a spherically symmetric X in the literature.

Suggested Citation

  • Martsynyuk, Yuliya V., 2013. "On the generalized domain of attraction of the multivariate normal law and asymptotic normality of the multivariate Student t-statistic," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 402-411.
    • Handle: RePEc:eee:jmvana:v:114:y:2013:i:c:p:402-411
    DOI: 10.1016/j.jmva.2012.08.012
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    References listed on IDEAS

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    1. Maller, R. A., 1993. "Quadratic Negligibility and the Asymptotic Normality of Operator Normed Sums," Journal of Multivariate Analysis, Elsevier, vol. 44(2), pages 191-219, February.
    2. Sepanski, S. J., 1994. "Asymptotics for Multivariate t-Statistic and Hotelling's T2-Statistic Under Infinite Second Moments via Bootstrapping," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 41-54, April.
    3. Vu, H. T. V. & Maller, R. A. & Klass, M. J., 1996. "On the Studentisation of Random Vectors," Journal of Multivariate Analysis, Elsevier, vol. 57(1), pages 142-155, April.
    4. Sepanski, Steven J., 1996. "Asymptotics for multivariate t-statistic for random vectors in the generalized domain of attraction of the multivariate normal law," Statistics & Probability Letters, Elsevier, vol. 30(2), pages 179-188, October.
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