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Let X, Xᵢ, i ∈ N, be independent, identically distributed random variables. It is shown that the Student t-statistic based upon the sample Xᵢᵢ₌₁ⁿ is asymptotically $N(0, 1)$ if and only if X is in the domain of attraction of the normal law. It is also shown that, for any X, if the self-normalized sums Uₙ := ∑ᵢ₌₁ⁿ Xᵢ/(∑ᵢ₌₁ⁿ Xᵢ²)1/2, n ∈ N, are stochastically bounded then they are uniformly subgaussian that is, ₙ E exp (λ Uₙ²) < ∞ for some λ > 0.
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M. et al. (1997) studied this question.
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