The Annals of Statistics

A Cramér moderate deviation theorem for Hotelling’s $T^{2}$-statistic with applications to global tests

Weidong Liu and Qi-Man Shao

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A Cramér moderate deviation theorem for Hotelling’s $T^{2}$-statistic is proved under a finite $(3+\delta)$th moment. The result is applied to large scale tests on the equality of mean vectors and is shown that the number of tests can be as large as $e^{o(n^{1/3})}$ before the chi-squared distribution calibration becomes inaccurate. As an application of the moderate deviation results, a global test on the equality of $m$ mean vectors based on the maximum of Hotelling’s $T^{2}$-statistics is developed and its asymptotic null distribution is shown to be an extreme value type I distribution. A novel intermediate approximation to the null distribution is proposed to improve the slow convergence rate of the extreme distribution approximation. Numerical studies show that the new test procedure works well even for a small sample size and performs favorably in analyzing a breast cancer dataset.

Article information

Ann. Statist., Volume 41, Number 1 (2013), 296-322.

First available in Project Euclid: 26 March 2013

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62E20: Asymptotic distribution theory
Secondary: 62H15: Hypothesis testing 60F10: Large deviations

Cramér moderate deviation Hotelling’s $T^{2}$-statistic global tests simultaneous hypothesis tests FDR brain structure gene selection


Liu, Weidong; Shao, Qi-Man. A Cramér moderate deviation theorem for Hotelling’s $T^{2}$-statistic with applications to global tests. Ann. Statist. 41 (2013), no. 1, 296--322. doi:10.1214/12-AOS1082.

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Supplemental materials

  • Supplementary material: Supplement to “A Cramér moderate deviation theorem for Hotelling’s $T^{2}$-statistic with applications to global tests”. The supplement material includes the moderate deviation result by Sakhanenko (1991), the proof of Theorem 3.3 and the simulation results in Section 4.