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Asymptotic null and nonnull distribution of Hotelling's T2-statistic under the elliptical distribution

✍ Scribed by Toshiya Iwashita

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
743 KB
Volume
61
Category
Article
ISSN
0378-3758

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✦ Synopsis

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 given up to the order N -t, where N is the sample size. The percentiles of T 2 and the approximate powers are calculated to evaluate the efl'ect of the elliptical distribution for some numerical examples.

Also to evaluate the effect of an adjustment of Bartlett type to Hotelling's T 2 tbr the local alternative, the approximate power of adjusted 7 ,2 is calculated in comparison with one of nonadjusted 7,2.

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