Central limit theorem for Hotelling's $T^2$ statistic under large dimension
Abstract
In this paper we prove the central limit theorem for Hotelling's $T^2$ statistic when the dimension of the random vectors is proportional to the sample size.
- Publication:
-
arXiv e-prints
- Pub Date:
- February 2008
- DOI:
- 10.48550/arXiv.0802.0082
- arXiv:
- arXiv:0802.0082
- Bibcode:
- 2008arXiv0802.0082P
- Keywords:
-
- Mathematics - Probability;
- Mathematics - Statistics Theory
- E-Print:
- Published in at http://dx.doi.org/10.1214/10-AAP742 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)