 Solution

By the spectral theorem, write $V=U\mathrm{diag}(v_1,\dots ,v_p)U^T$, where $U$ is orthogonal and each $v_j>0$. Choose the whitening transformationA linear image of a multivariate normal vector is multivariate normal, and $LV{L}^T=I$. Thus $Z_i=L(Y_i-\mu )$ are independent $N_p(0,I)$ random vectors. Their whole joint distribution is independent of $\mu ,V$.

Define $\bar{Z}=n^{-1}{\sum }_i{Z}_i$ and $S_Z=n^{-1}{\sum }_i(Z_i-\bar{Z})(Z_i-\bar{Z}{)}^T$. These satisfyThereforeThe right side is a function of independent standard multivariate normal observations only, so its distribution depends on $n,p$ but not on $\mu ,V$. This is the same affine invariance of Hotelling's statistic that permits multivariate mean tests with unknown covariance. The proof concerns the jointly transformed mean and covariance; whitening the mean alone would not establish the conclusion. Inverses exist almost surely under $n>p$. If $V$ is singular, no square matrix can whiten it to $I$, so nonsingularity of the population covariance is necessary as well.