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Hotelling's T-squared distribution

Index Hotelling's T-squared distribution

In statistics Hotelling's T-squared distribution (T2) is a multivariate distribution proportional to the ''F''-distribution and arises importantly as the distribution of a set of statistics which are natural generalizations of the statistics underlying Student's ''t''-distribution. [1]

35 relations: Annals of Mathematical Statistics, Apostrophe, Characteristic function (probability theory), Chi-squared distribution, Covariance matrix, Degrees of freedom (statistics), F-distribution, George W. Snedecor, Harold Hotelling, Independence (probability theory), Location parameter, Multivariate normal distribution, Multivariate statistics, Multivariate t-distribution, Noncentral chi-squared distribution, Noncentral F-distribution, P-value, Pooled variance, Positive-definite matrix, Probability distribution, Quadratic form (statistics), Random variable, Sample mean and covariance, Samuel S. Wilks, Scaling (geometry), Statistical hypothesis testing, Statistics, Student's t-distribution, Student's t-test, T-statistic, Transpose, Welch's t-test, Wilks's lambda distribution, William Sealy Gosset, Wishart distribution.

Annals of Mathematical Statistics

The Annals of Mathematical Statistics was a peer-reviewed statistics journal published by the Institute of Mathematical Statistics from 1930 to 1972.

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Apostrophe

The apostrophe ( ' or) character is a punctuation mark, and sometimes a diacritical mark, in languages that use the Latin alphabet and some other alphabets.

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Characteristic function (probability theory)

In probability theory and statistics, the characteristic function of any real-valued random variable completely defines its probability distribution.

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Chi-squared distribution

No description.

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Covariance matrix

In probability theory and statistics, a covariance matrix (also known as dispersion matrix or variance–covariance matrix) is a matrix whose element in the i, j position is the covariance between the i-th and j-th elements of a random vector.

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Degrees of freedom (statistics)

In statistics, the number of degrees of freedom is the number of values in the final calculation of a statistic that are free to vary.

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F-distribution

No description.

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George W. Snedecor

George Waddel Snedecor (October 20, 1881 – February 15, 1974) was an American mathematician and statistician.

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Harold Hotelling

Harold Hotelling (September 29, 1895 – December 26, 1973) was a mathematical statistician and an influential economic theorist, known for Hotelling's law, Hotelling's lemma, and Hotelling's rule in economics, as well as Hotelling's T-squared distribution in statistics.

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Independence (probability theory)

In probability theory, two events are independent, statistically independent, or stochastically independent if the occurrence of one does not affect the probability of occurrence of the other.

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Location parameter

In statistics, a location family is a class of probability distributions that is parametrized by a scalar- or vector-valued parameter x_0, which determines the "location" or shift of the distribution.

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Multivariate normal distribution

In probability theory and statistics, the multivariate normal distribution or multivariate Gaussian distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions.

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Multivariate statistics

Multivariate statistics is a subdivision of statistics encompassing the simultaneous observation and analysis of more than one outcome variable.

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Multivariate t-distribution

In statistics, the multivariate t-distribution (or multivariate Student distribution) is a multivariate probability distribution.

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Noncentral chi-squared distribution

No description.

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Noncentral F-distribution

In probability theory and statistics, the noncentral F-distribution is a continuous probability distribution that is a generalization of the (ordinary) ''F''-distribution.

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P-value

In statistical hypothesis testing, the p-value or probability value or asymptotic significance is the probability for a given statistical model that, when the null hypothesis is true, the statistical summary (such as the sample mean difference between two compared groups) would be the same as or of greater magnitude than the actual observed results.

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Pooled variance

In statistics, pooled variance (also known as combined, composite, or overall variance) is a method for estimating variance of several different populations when the mean of each population may be different, but one may assume that the variance of each population is the same.

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Positive-definite matrix

In linear algebra, a symmetric real matrix M is said to be positive definite if the scalar z^Mz is strictly positive for every non-zero column vector z of n real numbers.

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Probability distribution

In probability theory and statistics, a probability distribution is a mathematical function that provides the probabilities of occurrence of different possible outcomes in an experiment.

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Quadratic form (statistics)

In multivariate statistics, if \varepsilon is a vector of n random variables, and \Lambda is an n-dimensional symmetric matrix, then the scalar quantity \varepsilon^T\Lambda\varepsilon is known as a quadratic form in \varepsilon.

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Random variable

In probability and statistics, a random variable, random quantity, aleatory variable, or stochastic variable is a variable whose possible values are outcomes of a random phenomenon.

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Sample mean and covariance

The sample mean or empirical mean and the sample covariance are statistics computed from a collection (the sample) of data on one or more random variables.

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Samuel S. Wilks

Samuel Stanley Wilks (June 17, 1906 – March 7, 1964) was an American mathematician and academic who played an important role in the development of mathematical statistics, especially in regard to practical applications.

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Scaling (geometry)

In Euclidean geometry, uniform scaling (or isotropic scaling) is a linear transformation that enlarges (increases) or shrinks (diminishes) objects by a scale factor that is the same in all directions.

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Statistical hypothesis testing

A statistical hypothesis, sometimes called confirmatory data analysis, is a hypothesis that is testable on the basis of observing a process that is modeled via a set of random variables.

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Statistics

Statistics is a branch of mathematics dealing with the collection, analysis, interpretation, presentation, and organization of data.

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Student's t-distribution

In probability and statistics, Student's t-distribution (or simply the t-distribution) is any member of a family of continuous probability distributions that arises when estimating the mean of a normally distributed population in situations where the sample size is small and population standard deviation is unknown.

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Student's t-test

The t-test is any statistical hypothesis test in which the test statistic follows a Student's ''t''-distribution under the null hypothesis.

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T-statistic

In statistics, the t-statistic is the ratio of the departure of the estimated value of a parameter from its hypothesized value to its standard error.

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Transpose

In linear algebra, the transpose of a matrix is an operator which flips a matrix over its diagonal, that is it switches the row and column indices of the matrix by producing another matrix denoted as AT (also written A′, Atr, tA or At).

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Welch's t-test

In statistics, Welch's t-test, or unequal variances t-test, is a two-sample location test which is used to test the hypothesis that two populations have equal means.

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Wilks's lambda distribution

In statistics, Wilks's lambda distribution (named for Samuel S. Wilks), is a probability distribution used in multivariate hypothesis testing, especially with regard to the likelihood-ratio test and multivariate analysis of variance (MANOVA).

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William Sealy Gosset

William Sealy Gosset (13 June 1876 – 16 October 1937) was an English statistician.

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Wishart distribution

In statistics, the Wishart distribution is a generalization to multiple dimensions of the chi-squared distribution, or, in the case of non-integer degrees of freedom, of the gamma distribution.

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References

[1] https://en.wikipedia.org/wiki/Hotelling's_T-squared_distribution

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