Paper 4, Section II, 27 K27 \mathrm{~K}

Principles of Statistics
Part II, 2013

Assuming only the existence and properties of the univariate normal distribution, define Np(μ,Σ)\mathcal{N}_{p}(\underline{\mu}, \Sigma), the multivariate normal distribution with mean (row-)vector μ\underline{\mu} and dispersion matrix Σ\Sigma; and Wp(ν;Σ)W_{p}(\nu ; \Sigma), the Wishart distribution on integer ν>1\nu>1 degrees of freedom and with scale parameter Σ\Sigma. Show that, if XNp(μ,Σ),SWp(ν;Σ)\underline{X} \sim \mathcal{N}_{p}(\underline{\mu}, \Sigma), S \sim W_{p}(\nu ; \Sigma), and b(1×q),A(p×q)\underline{b}(1 \times q), A(p \times q) are fixed, then b+XANq(b+μA,Φ),ATSAWp(ν;Φ)\underline{b}+\underline{X} A \sim \mathcal{N}_{q}(\underline{b}+\underline{\mu} A, \Phi), A^{\mathrm{T}} S A \sim W_{p}(\nu ; \Phi), where Φ=ATΣA\Phi=A^{\mathrm{T}} \Sigma A.

The random (n×p)(n \times p) matrix XX has rows that are independently distributed as Np(M,Σ)\mathcal{N}_{p}(\underline{\mathrm{M}}, \Sigma), where both parameters M\underline{\mathrm{M}} and Σ\Sigma are unknown. Let Xˉ:=n11TX\underline{\bar{X}}:=n^{-1} \mathbf{1}^{\mathrm{T}} X, where 1 is the (n×1)(n \times 1) vector of 1 s1 \mathrm{~s}; and Sc:=XTΠXS^{c}:=X^{\mathrm{T}} \Pi X, with Π:=Inn111T\Pi:=I_{n}-n^{-1} 11^{\mathrm{T}}. State the joint distribution of Xˉ\bar{X} and ScS^{c} given the parameters.

Now suppose n>pn>p and Σ\Sigma is positive definite. Hotelling's T2T^{2} is defined as

T2:=n(XˉM)(Sˉc)1(XˉM)TT^{2}:=n(\underline{\bar{X}}-\underline{\mathrm{M}})\left(\bar{S}^{c}\right)^{-1}(\underline{\bar{X}}-\underline{\mathrm{M}})^{\mathrm{T}}

where Sˉc:=Sc/ν\bar{S}^{c}:=S^{c} / \nu with ν:=(n1)\nu:=(n-1). Show that, for any values of M\underline{\mathrm{M}} and Σ\Sigma,

(νp+1νp)T2Fνp+1p,\left(\frac{\nu-p+1}{\nu p}\right) T^{2} \sim F_{\nu-p+1}^{p},

the FF distribution on pp and νp+1\nu-p+1 degrees of freedom.

[You may assume that:

  1. If SWp(ν;Σ)S \sim W_{p}(\nu ; \Sigma) and a\mathbf{a} is a fixed (p×1)(p \times 1) vector, then

aTΣ1aaTS1aχνp+12\frac{\mathbf{a}^{\mathrm{T}} \Sigma^{-1} \mathbf{a}}{\mathbf{a}^{\mathrm{T}} S^{-1} \mathbf{a}} \sim \chi_{\nu-p+1}^{2}

  1. If Vχp2,Wχλ2V \sim \chi_{p}^{2}, W \sim \chi_{\lambda}^{2} are independent, then

V/pW/λFλp\frac{V / p}{W / \lambda} \sim F_{\lambda}^{p} \text {. }