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

Listed author(s):
  • Omey, Edward


    (Hogeschool-Universiteit Brussel (HUB), Belgium)

  • Van Gulck, Stefan


    (Hogeschool-Universiteit Brussel (HUB), Belgium)

Registered author(s):

    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).

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    Paper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2008/02.

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    Length: 17 pages
    Date of creation: Jan 2008
    Handle: RePEc:hub:wpecon:200802
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