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Large and Moderate Deviations for Hotelling's $T^2$-Statistics


 
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1. Title Title of document Large and Moderate Deviations for Hotelling's $T^2$-Statistics
 
2. Creator Author's name, affiliation, country Amir Dembo; Stanford University
 
2. Creator Author's name, affiliation, country Qi-Man Shao; Hong Kong University of Science and Technology
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) large deviation; moderate deviation; self-normalized partial sums; law of the iterated logarithm; $T^2$ statistic
 
3. Subject Subject classification Primary 60F10, 60F15 ; Secondary 62E20, 60G50
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2006-08-07
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1209
 
10. Identifier Digital Object Identifier 10.1214/ECP.v11-1209
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 11
 
12. Language English=en
 
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