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

DOI10.1214/10-AAP742MaRDI QIDQ655585zbMATH OpenOpenAlexFDO

Authors Wang Zhou, Guangming Pan

Publication date 4 January 2012

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

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

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)

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.

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Cited in

(23)

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• 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
• Self-normalization: taming a wild population in a heavy-tailed world
• Ridgelized Hotelling’s T² test on mean vectors of large dimension
• On the dimension effect of regularized linear discriminant analysis
• A p-value based dimensionality reduction test for high dimensional means
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• Comparison between two types of large sample covariance matrices
• Sign-based test for mean vector in high-dimensional and sparse settings
• High-dimensional general linear hypothesis tests via non-linear spectral shrinkage
• Inference for the mean of large \(p\) small \(n\) data: a finite-sample high-dimensional generalization of Hotelling's theorem
• A new test for high-dimensional two-sample mean problems with consideration of correlation structure
• 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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