Central limit theorem for Hotelling's $T^2$ statistic under large dimension

G. M. Pan; W. Zhou

arxiv: 0802.0082 · v3 · pith:FFDVR5IZnew · submitted 2008-02-01 · 🧮 math.PR · math.ST· stat.TH

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

G. M. Pan , W. Zhou This is my paper

classification 🧮 math.PR math.STstat.TH

keywords centraldimensionhotellinglimitstatistictheoremlargeproportional

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In this paper we prove the central limit theorem for Hotelling's $T^2$ statistic when the dimension of the random vectors is proportional to the sample size.

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

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