Central limit theory of hotelling’s T2 statistic with dimensionality reduction

Random Matrices Theory and Application 2026

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Authors: Wenzhi Yang, Yiming Liu, Guangming Pan, Wang Zhou
DOI: 10.1142/s2010326326500024
Cited by: 0

Abstract

In this paper, we use dimensional reduction technique to study the central limit theory (CLT) of Hotelling’s [Formula: see text] statistic. Specifically, we use a matrix denoted by [Formula: see text], to map [Formula: see text]-dimensional sample vectors to a [Formula: see text]-dimensional subspace, where [Formula: see text] or [Formula: see text]. Under the condition of [Formula: see text] as [Formula: see text], we obtain the CLT of Hotelling’s [Formula: see text] statistic. Moreover, the selection of [Formula: see text] is also considered, which demonstrates good performance in the simulation studies.

Fields of Study & Subjects

Statistical Methods and Applications Random Matrices and Applications Advanced Statistical Methods and Models

Publication details

Journal / source
Random Matrices Theory and Application
Volume
15
Issue
02
Publication date
16 January 2026
Language
EN