Multivariate Analysis-Distribution of Hotelling T2 Statistic (ISS (Statistical Services) 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▾

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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.


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

Let , then and

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

Since is known vector,

If we have a setup

… (136 more words) …

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