Central limit theorem for Hotelling's T^2 statistic under large dimension

DOI10.1214/10-AAP742zbMATH Open1250.62030arXiv0802.0082OpenAlexW3100254145MaRDI QIDQ655585FDOQ655585

Authors: Wang Zhou, Guangming Pan 

Publication date: 4 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/0802.0082

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Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cited In (23)

• CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures
• Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT
• CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size
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• On LR simultaneous test of high-dimensional mean vector and covariance matrix under non-normality
• A Cramér moderate deviation theorem for Hotelling's \(T^{2}\)-statistic with applications to global tests
• Test for high-dimensional mean vector under missing observations
• Random matrix theory in statistics: a review
• Ridgelized Hotelling’s T² test on mean vectors of large dimension
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• High-dimensional general linear hypothesis tests via non-linear spectral shrinkage
• A new test for high-dimensional two-sample mean problems with consideration of correlation structure
• Inference for the mean of large \(p\) small \(n\) data: a finite-sample high-dimensional generalization of Hotelling's theorem
• On new robust tests for the multivariate normal mean vector with high-dimensional data and applications
• An adaptable generalization of Hotelling's \(T^2\) test in high dimension
• Standardized Dempster's non-exact test for high-dimensional mean vectors
• Proposition of new alternative tests adapted to the traditional T² test
• A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices

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