Abstract
In this paper we prove the central limit theorem for Hotelling’s T2 statistic when the dimension of the random vectors is proportional to the sample size.
Citation
G. M. Pan. W. Zhou. "Central limit theorem for Hotelling’s T2 statistic under large dimension." Ann. Appl. Probab. 21 (5) 1860 - 1910, October 2011. https://doi.org/10.1214/10-AAP742
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