An everywhere convergent series representation of the distribution of Hotelling's generalized T^ 2_ 0

DOI10.1016/0047-259X(87)90003-0MaRDI QIDQ1094041zbMATH OpenFDO

Authors Peter C. B. Phillips

Publication date 1987

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(87)90003-0

zbMATH Keywords

everywhere convergent seriesexact distributionexplicit formulaeHotelling generalized T-square distributioninvariant polynomialsnon-central distributionsnull distributionWishart distributions

Mathematics Subject Classification ID

Convergence and divergence of series and sequences of functions (40A30) Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10)

Review text

Hotelling's verallgemeinerte \(T^ 2_ 0\)-Statistik ist definiert als \(n_ 2\cdot Spur(S_ 1S_ 2^{-1})\), wobei \(S_ 1\) und \(S_ 2\) unabhängige (m\(\times m)\) Wishartmatrizen mit \(n_ 1\) resp. \(n_ 2\) Freiheitsgraden sind. Die Nullverteilung von \(T=T^ 2_ 0/n_ 2\) wurde für \(m=2\) bereits von Hotelling als Reihe hergeleitet. Dieses Resultat erfuhr viele Verallgemeinerungen und wird hier als eine überall konvergente Reihe dargestellt.

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Cites work

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Cited in

(6)

• An everywhere convergent series representation of the distribution of Hotelling's generalized \(T^ 2_ 0\)
• On the distribution of the function of the F-matrix under an elliptical population
• scientific article; zbMATH DE number 3866363 (Why is no real title available?)
• A Generalization of Hotelling'sT²
• Distributions of Lawley-Hotelling'sT₀²and Related Statistics: A Review
• Invariant Polynomials and Related Tests

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