Asymptotics for multivariate \(t\)-statistic and Hotelling's \(T^ 2\)- statistic under infinite second moments via bootstrapping

DOI10.1006/JMVA.1994.1012zbMath0796.62019OpenAlexW1983345173MaRDI QIDQ1323844

Steven J. Sepanski

Publication date: 4 July 1994

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1994.1012

zbMATH Keywords

bootstrapconfidence regioncentral limit theoremdomain of attractionnormal lawgeneralized domain of attractionaffine normalizationself normalizationanalogue of Student's \(t\)-statisticbootstrap version of the multivariate \(t\)-statisticchi-squared limiting distributionHotelling \(T\)-square statisticinfinite second moments

Mathematics Subject Classification ID

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

Related Items (6)

Sampling distributions associated with the multivariate t distribution ⋮ Empirical likelihood ratio under infinite covariance matrix of the random vectors ⋮ Empirical likelihood ratio under infinite second moment for two-sample problems ⋮ Asymptotics for multivariate \(t\)-statistic for random vectors in the generalized domain of attraction of the multivariate normal law ⋮ Revealed preference analysis of expected utility maximization under prize-probability trade-offs ⋮ Improved confidence regions for a mean vector under general conditions

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