The Approximate Distribution of Student's Statistic
Kai-Lai Chung · The Annals of Mathematical Statistics · 1946
It is well known that various statistics of a large sample (of size $n$) are approximately distributed according to the normal law. The asymptotic expansion of the distribution of the statistic in a series of powers of $n^{-\frac{1}{2}}$ with a remainder term gives the accuracy of the approximation. H. Cramer [1] first obtained the asymptotic expansion of the mean, and recently P. L. Hsu [2] has obtained that of the variance of a sample. In the present paper we extend the Cramer-Hsu method to Student's statistic. The theorem proved states essentially that if the population distribution is non-singular and if the existence of a sufficient number of moments is assumed, then an asymptotic expansion can be obtained with the appropriate remainder. The first four terms of the expansion are exhibited in formula (35).