An Asymptotic Expansion for the Distribution of Hotelling'sT2-Statistic under Nonnormality
In 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.
Volume (Year): 61 (1997)
Issue (Month): 2 (May)
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- Bhattacharya, Rabi N. & Ghosh, J. K., 1988. "On moment conditions for valid formal Edgeworth expansions," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 68-79, October.
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