A Theorem on Products of Random Variables, With Application to Regression

Publisher Website
Google Scholar
Abstract
Summary: It is shown that the product of two independent random variables in the domain of attraction of the normal distribution is also in the domain of attraction of the normal distribution, while if the product is in the domain of attraction of the normal distribution and one of the variables has finite variance, the other is in the domain of attraction of the normal distribution. This result is applied to prove the asymptotic normality of the regression coefficient in a linear regression when the error variance is not necessarily finite.

This publication has 3 references indexed in Scilit: