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On inadmissibility of Hotelling T2-tests for restricted alternatives

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  • Tsai, Ming-Tien
  • Sen, Pranab Kumar

Abstract

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.

Suggested Citation

  • Tsai, Ming-Tien & Sen, Pranab Kumar, 2004. "On inadmissibility of Hotelling T2-tests for restricted alternatives," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 87-96, April.
    • Handle: RePEc:eee:jmvana:v:89:y:2004:i:1:p:87-96
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    References listed on IDEAS

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    1. Tsai, Mingtan, 1992. "On the power superiority of likelihood ratio tests for restricted alternatives," Journal of Multivariate Analysis, Elsevier, vol. 42(1), pages 102-109, July.
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