A Comparison of Two Tests for the Significance of a Mean Vector.

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Abstract:

Hotellings T-square procedure for testing the significance of a mean vector treats all variables symmetrically and may not be appropriate if the variables carry unequal importance. The step-down procedure, a possibly appropriate alternative, is studied in this paper. An underlying invariance structure is established and then used to develop a canonical form for studying the power functions of the two methods. A Monte Carlo experiment is conducted in this framework and conclusions are reported.

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