A note on the normal approximation error for randomly weighted self-normalized sums (1109.5812v1)

Abstract: Let $\bX={X_n}{n\geq 1}$ and $\bY={Y_n}{n\geq 1}$ be two independent random sequences. We obtain rates of convergence to the normal law of randomly weighted self-normalized sums $$ \psi_n(\bX,\bY)=\sum_{i=1}^nX_iY_i/V_n,\quad V_n=\sqrt{Y_1^2+...+Y_n^2}. $$ These rates are seen to hold for the convergence of a number of important statistics, such as for instance Student's $t$-statistic or the empirical correlation coefficient.