Assuming only the existence and properties of the univariate normal distribution, define Np(μ,Σ), the multivariate normal distribution with mean (row-)vector μ and dispersion matrix Σ; and Wp(ν;Σ), the Wishart distribution on integer ν>1 degrees of freedom and with scale parameter Σ. Show that, if X∼Np(μ,Σ),S∼Wp(ν;Σ), and b(1×q),A(p×q) are fixed, then b+XA∼Nq(b+μA,Φ),ATSA∼Wp(ν;Φ), where Φ=ATΣA.
The random (n×p) matrix X has rows that are independently distributed as Np(M,Σ), where both parameters M and Σ are unknown. Let Xˉ:=n−11TX, where 1 is the (n×1) vector of 1 s; and Sc:=XTΠX, with Π:=In−n−111T. State the joint distribution of Xˉ and Sc given the parameters.
Now suppose n>p and Σ is positive definite. Hotelling's T2 is defined as
T2:=n(Xˉ−M)(Sˉc)−1(Xˉ−M)T
where Sˉc:=Sc/ν with ν:=(n−1). Show that, for any values of M and Σ,
(νpν−p+1)T2∼Fν−p+1p,
the F distribution on p and ν−p+1 degrees of freedom.
[You may assume that:
- If S∼Wp(ν;Σ) and a is a fixed (p×1) vector, then
aTS−1aaTΣ−1a∼χν−p+12
- If V∼χp2,W∼χλ2 are independent, then
W/λV/p∼Fλp.