An Asymptotic Expansion for the Distribution of Hotelling'sT2-Statistic under Nonnormality

Yasunori Fujikoshi

Journal of Multivariate Analysis, 1997, vol. 61, issue 2, 187-193

Abstract: In this paper we obtain an asymptotic expansion for the distribution of Hotelling'sT2-statisticT2under nonnormality when the sample size is large. In the derivation we find an explicit Edgeworth expansion of the multivariatet-statistic. Our method is to use the Edgeworth expansion and to expand the characteristic function ofT2.

Keywords: asymptotic; expansion; Hotelling's; T2-statistic; multivariatet-statistic; nonnormality (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (8)

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