The Annals of Applied Probability

Central limit theorem for Hotelling’s T2 statistic under large dimension

G. M. Pan and W. Zhou

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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.

Article information

Source
Ann. Appl. Probab., Volume 21, Number 5 (2011), 1860-1910.

Dates
First available in Project Euclid: 25 October 2011

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1319576611

Digital Object Identifier
doi:10.1214/10-AAP742

Mathematical Reviews number (MathSciNet)
MR2884053

Subjects
Primary: 15B52: Random matrices 60F15: Strong theorems 62E20: Asymptotic distribution theory
Secondary: 60F17: Functional limit theorems; invariance principles

Keywords
Hotelling’s T2 statistic sample means sample covariance matrices central limit theorem Stieltjes transform

Citation

Pan, G. M.; Zhou, W. Central limit theorem for Hotelling’s T 2 statistic under large dimension. Ann. Appl. Probab. 21 (2011), no. 5, 1860--1910. doi:10.1214/10-AAP742. https://projecteuclid.org/euclid.aoap/1319576611


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The Annals of Applied Probability

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