An asymptotic expansion for the distribution of Hotelling's T-2-statistic under nonnormality

[摘要] In this paper we obtain an asymptotic expansion for the distribution of Hotelling's T-2-statistic T-2 under nonnormality when the sample size is large. In the derivation we find an explicit Edgeworth expansion of the multivariate t-statistic. Our method is to use the Edgeworth expansion and to expand the characteristic function of T-2. (C) 1997 Academic Press.

[发布日期] 1997-05-01

[关键词] asymptotic expansion;Hotelling's T-2-statistic;multivariate t-statistic;nonnormality