Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension
type: Item
instance of: scholarly article
title: Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension
zbMATH Open document ID: 1250.62030
DOI: 10.1214/10-AAP742
author: Wang Zhou
author: Guangming Pan
published in: The Annals of Applied Probability
publication date: 2012-01-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/0802.0082
review text: For a sample \(X_1, \ldots, X_n\) from a distribution on \(\mathbb{R}^p\) with mean \(\mu\), denote by \(\overline{x}\) the sample mean and by \(S\) the sample covariance matrix. Hotelling's statistic \( T^2 = n (\overline{x} - \mu_0)^T S^{-1} (\overline{x} - \mu_0)\) is a classical object in multivariate statistics, useful, e.g., for testing the hypothesis that \(\mu = \mu_0\) against \(\mu \neq \mu_0\). Nowadays, e.g., in a context of data mining, one is often interested in letting the number \(p\) of variables grow proportionally to the sample size \(n\). The paper under review shows that in this asymptotic regime, if the components of \(X_1\) are iid and have a finite fourth moment, then \(T^2\), suitably shifted and scaled, tends to a standard normal limit as \(n \to \infty\).
reviewed by: Michael Stolz
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60F15
zbMATH DE Number: 5994512
MaRDI profile type: MaRDI publication profile
arXiv ID: 0802.0082
cites work: Q3796553
cites work: Q4882268
cites work: On asymptotics of eigenvectors of large sample covariance matrix
cites work: No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
cites work: CLT for linear spectral statistics of large-dimensional sample covariance matrices.
cites work: Q5560061
cites work: Q4836494
cites work: Distribution function inequalities for martingales
cites work: Linear functionals of eigenvalues of random matrices
cites work: The Generalization of Student's Ratio
cites work: Q3580453
cites work: On fluctuations of eigenvalues of random Hermitian matrices.
cites work: On the distribution of the largest eigenvalue in principal components analysis
cites work: Some limit theorems for the eigenvalues of a sample covariance matrix
cites work: Testing Statistical Hypotheses
cites work: DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
cites work: Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
cites work: On the eigenvectors of large dimensional sample covariance matrices
cites work: Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
cites work: Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
cites work: Central limit theorem for traces of large random symmetric matrices with independent matrix elements
cites work: The strong limits of random matrix spectra for sample matrices of independent elements
cites work: Almost sure limit of the smallest eigenvalue of some sample correlation matrices
cites work: Limiting spectral distribution for a class of random matrices
cites work: On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
OpenAlex ID: W3100254145
Recommended article: Large and moderate deviations for Hotelling's \(T^2\)-statistic
Recommended article: An Asymptotic Expansion of the Distribution of Hotelling'sT2-Statistic Under General Distributions
Recommended article: Q3333877
Recommended article: An asymptotic expansion for the distribution of Hotelling's \(T^ 2\)-statistic under nonnormality
Recommended article: Q4231575
Recommended article: Central limit theorems for \(L_ p\)-norms of density estimators
Recommended article: High-dimensional central limit theorems for homogeneous sums
description: scientific article