Central limit theorem for Hotelling's $T^2$ statistic under large dimension

preprint2012arXivOpen access

In this paper we prove the central limit theorem for Hotelling's $T^2$ statistic when the dimension of the random vectors is proportional to the sample size.

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Central limit theorem for Hotelling's $T^2$ statistic under large dimension

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Central limit theorem for Hotelling's $T^2$ statistic under large dimension