CORRELATION BETWEEN TWO HOTELLING'S T sup 2
SOUTHERN METHODIST UNIV DALLAS TX DEPT OF STATISTICAL SCIENCE
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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.
- Statistics and Probability