Invariance principles for a multivariate Student process in the generalized domain of attraction of the multivariate normal law

Assuming that the sample correlation matrix of vector X converges to a positive definite nonstochastic matrix, we establish a uniform Euclidean norm approximation in probability and a functional CLT for a multivariate Student process, based on independent copies of X. These results obtain if and only if X is in the generalized domain of attraction of the multivariate normal law.

MoreLess

Year of publication:	2012
Authors:	Martsynyuk, Yuliya V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 12, p. 2270-2277
Publisher:	Elsevier
Subject:	Uniform Euclidean norm approximation in probability \| Functional central limit theorem

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580427