Central limit theorem for Hotelling's t2 statistic under large dimension
Pan, G.M. Zhou, W.
Pan, G.M.
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Abstract
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. © 2011 Institute of Mathematical Statistics.
Keywords
Central limit theorem, Hotelling's T2 statistic, Sample covariance matrices, Sample means, Stieltjes transform
Source Title
Annals of Applied Probability
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Date
2011-10
DOI
10.1214/10-AAP742
Type
Article