Studentization of the generalized covariance measure statistic
= Studentization of the generalized covariance measure statistic
If the numerator of the <generalized covariance measure statistic> obeys a <central limit theorem> with variance $\mathbb E(\varepsilon^2\xi^2)$ and its empirical residual-product second moment converges in probability to the same positive quantity, the <Slutsky theorem> makes the studentized statistic converge in distribution to $N(0,1)$.