Asymptotics for multivariate t-statistic and hotelling′s T < sup> 2 -statistic under infinite second moments via bootstrapping
Document Type
Article
Publication Date
1-1-1994
Department
Department of Mathematical Sciences
Abstract
We define the appropriate analogue of Student′s t-statistic for multivariate data, and prove that it is asymptotically normal for random vectors in the domain of attraction of the normal law. We also prove that Hotelling′s T2-statistic has a chi-squared limiting distribution for random vectors in the generalized domain of attraction of the normal law. Our tool in proving these results is the bootstrap. We prove that the bootstrap version of the multivariate t-statistic is asymptotically normal when the parent distribution is in the generalized domain of attraction of the normal law.
Publication Title
Journal of Multivariate Analysis
Recommended Citation
Sepanski, S.
(1994).
Asymptotics for multivariate t-statistic and hotelling′s T < sup> 2 -statistic under infinite second moments via bootstrapping.
Journal of Multivariate Analysis,
49(1), 41-54.
http://doi.org/10.1006/jmva.1994.1012
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p/3982