AN ASYMPTOTIC-EXPANSION FOR THE DISTRIBUTION OF HOTELLING T-2-STATISTIC UNDER NONNORMALITY

Authors
FUJIKOSHI Y
Citation
Y. Fujikoshi, AN ASYMPTOTIC-EXPANSION FOR THE DISTRIBUTION OF HOTELLING T-2-STATISTIC UNDER NONNORMALITY, Journal of Multivariate Analysis, 61(2), 1997, pp. 187-193
Citations number
10
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Multivariate Analysis → ACNP
ISSN journal
0047259X
Volume
61
Issue
2
Year of publication
1997
Pages
187 - 193
Database
ISI
SICI code
0047-259X(1997)61:2<187:AAFTDO>2.0.ZU;2-1
Abstract
In this paper we obtain an asymptotic expansion for the distribution o f Hotelling's T-2-statistic T-2 under nonnormality when the sample siz e is large. In the derivation we find an explicit Edgeworth expansion of the multivariate t-statistic. Our method is to use the Edgeworth ex pansion and to expand the characteristic function of T-2. (C) 1997 Aca demic Press.