Non-uniform bounds and Edgeworth expansions in self-normalized limit theorems (2207.14402v2)

Abstract: We study Edgeworth expansions in limit theorems for self-normalized sums. Non-uniform bounds for expansions in the central limit theorem are established while only imposing minimal moment conditions. Within this result, we address the case of non-integer moments leading to a reduced remainder. Furthermore, we provide non-uniform bounds for expansions in local limit theorems. The enhanced tail-accuracy of our non-uniform bounds allows for deriving an Edgeworth-type expansion in the entropic central limit theorem as well as a central limit theorem in total variation distance for self-normalized sums.