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Asymptotics for Multivariate t-Statistic and Hotelling′s T2-Statistic Under Infinite Second Moments via Bootstrapping

✍ Scribed by S.J. Sepanski

Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
573 KB
Volume
49
Category
Article
ISSN
0047-259X

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✦ Synopsis

We define the appropriate analogue of Student's (t)-statistic for multivariate data, and prove that it is asymptotically normal for random vectors in the domain of attraction of the normal law. We also prove that Hotelling's (T^{2})-statistic has a chisquared limiting distribution for random vectors in the generalized domain of attraction of the normal law. Our tool in proving these results is the bootstrap. We prove that the bootstrap version of the multivariate (t)-statistic is asymptotically normal when the parent distribution is in the generalized domain of attraction of the normal law. 1994 Academic Press, Inc

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✍ Toshiya Iwashita 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 743 KB

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