Large and Moderate Deviations for Hotelling's $T^2$-Statistics

Amir Dembo (Stanford University)
Qi-Man Shao (Hong Kong University of Science and Technology)

Abstract


Let $\mathbf{X}, \mathbf{X}_1, \mathbf{X}_2, ...$ be i.i.d. $\mathbb{R}^d$-valued random variables. We prove large and moderate deviations for Hotelling's $T^2$-statistic when $\mathbf{X}$ is in the generalized domain of attraction of the normal law.

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Pages: 149-159

Publication Date: August 7, 2006

DOI: 10.1214/ECP.v11-1209

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