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Title: Central limit theorem for Hotelling's t2 statistic under large dimension
Authors: Pan, G.M.
Zhou, W. 
Keywords: Central limit theorem
Hotelling's T2 statistic
Sample covariance matrices
Sample means
Stieltjes transform
Issue Date: Oct-2011
Citation: Pan, G.M., Zhou, W. (2011-10). Central limit theorem for Hotelling's t2 statistic under large dimension. Annals of Applied Probability 21 (5) : 1860-1910. ScholarBank@NUS Repository.
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.
Source Title: Annals of Applied Probability
ISSN: 10505164
DOI: 10.1214/10-AAP742
Appears in Collections:Staff Publications

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