Hotelling’s T2 tests in paired and independent survey samples: An efficiency comparison

Ludwig Baringhaus and Daniel Gaigall

Journal of Multivariate Analysis, 2017, vol. 154, issue C, 177-198

Abstract: Hotelling’s T2 tests in paired and independent survey samples are compared using the traditional asymptotic efficiency concepts of Hodges–Lehmann, Bahadur and Pitman, as well as through criteria based on the volumes of corresponding confidence regions. Conditions characterizing the superiority of a procedure are given in terms of population canonical correlation type coefficients. Statistical tests for checking these conditions are developed. Test statistics based on the eigenvalues of a symmetrized sample cross-covariance matrix are suggested, as well as test statistics based on sample canonical correlation type coefficients.

Keywords: Hotelling’s T2 test; Relative efficiency; Volumes of confidence sets; Sample covariance matrix; Canonical correlation type coefficients; Empirical eigenvalues (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.jmva.2016.11.004

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