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.

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Year of publication:	1997
Authors:	Fujikoshi, Yasunori
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 61.1997, 2, p. 187-193
Publisher:	Elsevier
Keywords:	asymptotic expansion Hotelling's T2-statistic multivariatet-statistic nonnormality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006435