Central limit theorem for Hotelling's $T^2$ statistic under large dimension
Probability
2012-01-10 v3 Statistics Theory
Statistics Theory
Abstract
In this paper we prove the central limit theorem for Hotelling's statistic when the dimension of the random vectors is proportional to the sample size.
Keywords
Cite
@article{arxiv.0802.0082,
title = {Central limit theorem for Hotelling's $T^2$ statistic under large dimension},
author = {G. M. Pan and W. Zhou},
journal= {arXiv preprint arXiv:0802.0082},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.1214/10-AAP742 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)