Statistic under Large Dimension
نویسندگان
چکیده
Sample covariance matrices are also of essential importance in multivariate statistical analysis because many test statistics involve their eigenvalues and/or eigenvectors. The typical example is T 2 statistic, which was proposed by Hotelling [2]. We refer to [1] and [3] for various uses of the T 2 statistic. The T 2 statistic, which is the origin of multivariate linear hypothesis tests and the associated confidence sets, is defined by
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