Accession Number:
AD0711804
Title:
CORRELATION BETWEEN TWO HOTELLING'S T sup 2
Descriptive Note:
Technical rept.
Corporate Author:
SOUTHERN METHODIST UNIV DALLAS TX DEPT OF STATISTICAL SCIENCE
Personal Author(s):
Report Date:
1970-08-01
Pagination or Media Count:
9.0
Abstract:
If B is a Wishart matrix and x, y are two vectors of p components each having a multinormal distribution and if all these quantities are independently distributed, the joint distribution of the two statistics r B yy primeB xx prime yy prime and s B xx primeB xx prime yy prime is derived in this paper. The correlation between r and s is also obtained. r and s are related to Hotellings T sup 2 and are useful in problems of testing multivariate outliers.
Descriptors:
Subject Categories:
- Statistics and Probability