Central limit theorem for Hotelling's t2 statistic under large dimension

Annals of Applied Probability

Volumn 21, Issue 5, 2011, Pages 1860-1910

  Pan, G M ^a   Zhou, W ^b  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Central limit theorem; Hotelling's T2 statistic; Sample covariance matrices; Sample means; Stieltjes transform

Indexed keywords

EID: 80155198553     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AAP742     Document Type: Article

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