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03.6.1. The Central Limit Theorem for Student's Distribution

Published online by Cambridge University Press:  01 December 2003

Karim Abadir  and
Jan Magnus
Karim Abadir
Affiliation:
University of York, UK
Jan Magnus
Affiliation:
Tilburg University, The Netherlands
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Extract

The central limit theorem for student's distribution.

Information

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 19 , Issue 6 , December 2003 , pp. 1195
Copyright
© 2003 Cambridge University Press

Let x1,…,xn be a random sample from Student's t(ν) distribution, where

. Investigate whether

is asymptotically N(0,1) for a suitable choice of λn.

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