CFDP 723

An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T 2^0

Author(s): 

Publication Date: September 1984

Pages: 23

Abstract: 

A new series representation of the exact distribution of Hotelling’s generalized T02 statistic is found which is everywhere convergent. Earlier results by Constantine which are convergent on the interval [0,1) are also derived from the formulae given here. The new results are made possible by the use of a matrix operator calculus developed by the author.

Keywords: 

Hotelling’s T02, Matrix operator calculus, Invariant polynomials of matrix argument

JEL Classification Codes:  62H10, 62E15