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 (2000):  

Hotteling's $T^2$, nonnormality, robustness.

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May 28, 2008


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