Asymptotic expansions of the null distributions for the Dempster trace criterion

Abstract

In this paper, we study the Dempster trace criterion. When the number of variables and the dimension of the null hypothesis are large relative to sample size, we derive the asymptotic distribution and Cornish-Fisher expansion of the Dempster trace criterion in the cases such that the covariance matrix is known and that the covariance matrix is unknown. Finally, we study the accuracy of the asymptotic expansion by the numerical simulation