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 eprints
 Pub Date:
 February 2008
 DOI:
 10.48550/arXiv.0802.0082
 arXiv:
 arXiv:0802.0082
 Bibcode:
 2008arXiv0802.0082P
 Keywords:

 Mathematics  Probability;
 Mathematics  Statistics Theory
 EPrint:
 Published in at http://dx.doi.org/10.1214/10AAP742 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)