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An Asymptotic Expansion for the Distribution of Hotelling'sT2-Statistic under Nonnormality

โœ Scribed by Yasunori Fujikoshi

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
630 KB
Volume
61
Category
Article
ISSN
0047-259X

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โœฆ Synopsis

In this paper we obtain an asymptotic expansion for the distribution of Hotelling's T 2 -statistic T 2 under nonnormality when the sample size is large. In the derivation we find an explicit Edgeworth expansion of the multivariate t-statistic. Our method is to use the Edgeworth expansion and to expand the characteristic function of T 2 .

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