Multivariate Analysis-Distribution of Hotelling T2 Statistic (ISS Statistics Paper II (Old Subjective Pattern)): Questions 1 - 1 of 1

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Question number: 1

» Multivariate Analysis » Distribution of Hotelling T2 Statistic » Use for Testing

Appeared in Year: 2015

Essay Question▾

Describe in Detail

Show that T 2 statistic is invariant under changes in the unit of measurements for a p×1 random vector X of the form Y =C X + d where C is a p×p nonsingular matrix, d is a p×1 vector.

Explanation

T 2 statistic can be computed from X. Here we have to compute it form Y and both will be same. Here

Equation

Let Equation, then Equation and Equation

So, T 2 -statistic comes into existence for testing hypothesis of the form

Equation

Since Equation is known vector,… (35 more words) …

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