CFDP 723R

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

Author(s): 

Publication Date: September 1984

Revision Date: March 1986

Pages: 17

Abstract: 

A new series representation of the exact distribution of Hotelling’s generalized T02 statistic is obtained. Unlike earlier work, the series representation given here is everywhere convergent. Explicit formulae are given for both the null and the noncentral distributions. Earlier results by Constantine [1], which are convergent on the interval [0,1), are also derived quite simply from our formulae.

Keywords: 

Hotelling’s T02, exact distribution, Invariant polynomials, Everywhere convergent series

JEL Classification Codes:  62H10, 62E15

See CFP: 675