On inadmissibility of Hotelling T2-tests for restricted alternatives

For multinormal distributions, testing against a global shift alternative, the Hotelling T2-test is uniformly most powerful invariant, and hence admissible. For testing against restricted alternatives this feature may no longer be true. It is shown that whenever the dispersion matrix is an M-matrix, Hotelling's T2-test is inadmissible, though some union-intersection tests may not be so.

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Year of publication:	2004
Authors:	Tsai, Ming-Tien ; Sen, Pranab Kumar
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 89.2004, 1, p. 87-96
Publisher:	Elsevier
Keywords:	Essentially complete class Finite UIT M-matrix MUIT UMP invariant

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005093774