An Asymptotic Expansion for the Distribution of Hotelling'sT-Statistic under Nonnormality |
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| Authors: | Yasunori Fujikoshi |
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| Institution: | Department of Mathematics, Faculty of Science, Hiroshima University, Higashi-Hiroshima, 724, Japan |
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| 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. |
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| Keywords: | asymptotic expansion Hotelling'sT2-statistic multivariatet-statistic nonnormality |
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