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 expa
Asymptotic distribution of the sup-Wald statistic under specification errors
β Scribed by Terence Tai-leung Chong
- Book ID
- 117646944
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 94 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0954-349X
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π SIMILAR VOLUMES
This paper is concerned with asymptotic distribution of Hotelling's T 2-statistic under the elliptical distribution for the null hypothesis and the local alternative under the elliptical distribution. Asymptotic expansions for the distribution of T 2 for the null case and the local alternative are g
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