An Asymptotic Expansion for the Distribution of Hotelling'sT2-Statistic under Nonnormality
AbstractIn this paper we obtain an asymptotic expansion for the distribution of Hotelling'sT2-statisticT2under nonnormality when the sample size is large. In the derivation we find an explicit Edgeworth expansion of the multivariatet-statistic. Our method is to use the Edgeworth expansion and to expand the characteristic function ofT2.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 61 (1997)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- asy - - - - - -
- exp - - - - - -
- Hot - Public Economics - - - - -
- T2- - - - - - -
- mul - - - - - -
- non - - - - - -
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