CORRELATION BETWEEN TWO HOTELLING'S T sup 2

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 prime)/(B + xx prime + yy prime) and s = (B + xx prime)/(B + xx prime + yy prime) is derived in this paper. The correlation between r and s is also obtained. r and s are related to Hotelling's T sup 2 and are useful in problems of testing multivariate outliers.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1970
Accession Number
AD0711804

Entities

People

  • A. M. Kshirsagar
  • John C. Young

Organizations

  • Southern Methodist University

Tags

DTIC Thesaurus Topics

  • Contracts
  • Covariance
  • Data Science
  • Governments
  • Information Science
  • Military Research
  • Statistical Analysis
  • Statistics
  • United States
  • United States Government
  • Universities
  • Wishart Matrices

Fields of Study

  • Mathematics

Readers

  • Linear Algebra
  • Personnel Management and Statistics in the Military and Department of Defense
  • Statistical inference.