Robustness of Multivariate Tests

Abstract

This paper gives necessary and sufficient conditions for the null distribution of a test statistic to remain the same in the class of left $\mathscr{O}(n)$-invariant distributions and in the class of elliptically symmetric distributions. Secondly, it is shown that in certain special cases, the usual MANOVA tests are still uniformly most powerful invariant in a class of left $\mathscr{O}(n)$-invariant distributions including elliptically symmetric distributions.