Relatório de pesquisa 10/08
Asymptotic Robustness of Hotteling's Statistic, M. A. Gneri and E. Pimentel Barbosa, submitted May 28, 2008
We show that under quite general distributional conditions the
asymptotic distribution of Hotteling's $T^2$ statistic is the
chi-square distribution, which is also the asymptotic distribution of
$T^2$ under the assumption of normality.
Mathematics Subject Classifications
Keywords: Hotteling's $T^2$, nonnormality, robustness.
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May 28, 2008
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