Open Access
2006 Large and Moderate Deviations for Hotelling's $T^2$-Statistics
Amir Dembo, Qi-Man Shao
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Electron. Commun. Probab. 11: 149-159 (2006). DOI: 10.1214/ECP.v11-1209


Let $\mathbf{X}, \mathbf{X}_1, \mathbf{X}_2, ...$ be i.i.d. $\mathbb{R}^d$-valued random variables. We prove large and moderate deviations for Hotelling's $T^2$-statistic when $\mathbf{X}$ is in the generalized domain of attraction of the normal law.


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Amir Dembo. Qi-Man Shao. "Large and Moderate Deviations for Hotelling's $T^2$-Statistics." Electron. Commun. Probab. 11 149 - 159, 2006.


Accepted: 7 August 2006; Published: 2006
First available in Project Euclid: 4 June 2016

zbMATH: 1112.60017
MathSciNet: MR2240708
Digital Object Identifier: 10.1214/ECP.v11-1209

Primary: Primary 60F10
Secondary: 60F15 , 60G50 , Secondary 62E20

Keywords: $T^2$ statistic , large deviation , Law of the iterated logarithm , Moderate deviation , self-normalized partial sums

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