CENTRAL LIMIT THEOREM FOR HOTELLING'S T2 STATISTIC UNDER LARGE DIMENSION

• 成果类型: Article
• 署名作者: Pan, G. M.; Zhou, W.
• 署名单位: Nanyang Technological University; National University of Singapore
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/10-AAP742
• 发表日期: 2011
• 页码: 1860-1910
• 关键词: spectral distribution; LARGEST EIGENVALUE; sample; eigenvectors; CONVERGENCE

摘要

In this paper we prove the central limit theorem for Hotelling's T-2 statistic when the dimension of the random vectors is proportional to the sample size.