Large and Moderate Deviations for Hotelling ’ S T 2 - Statistic
نویسنده
چکیده
AMIR DEMBO 1 Department of Statistics, Stanford University, Stanford, CA 94305-4065, USA email: [email protected] QI-MAN SHAO 2 Department of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, China; Department of Mathematics, University of Oregon, Eugene, OR 97403, USA; Department of Mathematics, Zhejiang University, Hangzhou, Zhejiang 310027, China. email: [email protected]
منابع مشابه
Statistic under Large Dimension
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...
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