Domains of attraction of the real random vector (X,X²) and applications

Edward Omey () and Stefan Van Gulck ()
Additional contact information
Edward Omey: Hogeschool-Universiteit Brussel (HUB), Belgium
Stefan Van Gulck: Hogeschool-Universiteit Brussel (HUB), Belgium

No 2008/02, Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management

Abstract: Many statistics are based on functions of sample moments. Important examples are the sample variance s2(n), the sample coefficient of variation SV (n), the sample dispersion SD(n) and the non-central t-statistic t(n). The de.nition of these quantities makes clear that the vector defined by XXX plays an important role. In the paper we obtain conditions under which the vector (X;X2) belongs to a bivariate domain of attraction of a stable law. Applying simple transformations then leads to a full discussion of the asymptotic behaviour of SV (n) and t(n).

Pages: 17 pages
Date: 2008-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://lirias.hubrussel.be/handle/123456789/2219 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to lirias.hubrussel.be:80 (nodename nor servname provided, or not known)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hub:wpecon:200802

Access Statistics for this paper

More papers in Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management Contact information at EDIRC.
Bibliographic data for series maintained by Sabine Janssens ( this e-mail address is bad, please contact ).