Central limit theorem for Hotelling.s T2 statistic under large dimension

Authors
Pan, G. M. Zhou, W.
Citation
M. Pan, G. et W. Zhou,, Central limit theorem for Hotelling.s T2 statistic under large dimension, Annals of applied probability , 21(5), 2011, pp. 1860-1910
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
21
Issue
5
Year of publication
2011
Pages
1860 - 1910
Database
ACNP
SICI code
Abstract
In this paper we prove the central limit theorem for Hotelling.s T2 statistic when the dimension of the random vectors is proportional to the sample size.