Abstract
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.
Citation
Amir Dembo. Qi-Man Shao. "Large and Moderate Deviations for Hotelling's $T^2$-Statistics." Electron. Commun. Probab. 11 149 - 159, 2006. https://doi.org/10.1214/ECP.v11-1209
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