Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 46 / 1 / c

Assume an independent Gaussian sample, positive-definite population covariance, and $n>p$. Define the sample mean and unbiased sample covariance matrix byThe standard test is based on Hotelling's T-squared statisticReject the null hypothesis for large values. Under the null its exact distribution isThe factor uses the unbiased, divisor-$n-1$ covariance convention. Normal-sample theory makes $\bar{X}$ independent of the residual covariance, whose whitened version has a Wishart distribution; this yields the stated F-distribution. The condition $n>p$ gives invertibility of $S$ almost surely and positive denominator degrees of freedom.

This is also the likelihood-ratio test. To see the connection, put $W=(n-1)S$ and $\delta =\bar{X}-{\mu }_0$. The maximized covariance estimates under the unrestricted and null models are $W/n$ and $W/n+\delta {\delta }^T$, respectively. The determinant identity for a rank-one update givesThus the likelihood ratio is $(1+T^2/(n-1){)}^{-n/2}$, decreasing in $T^2$. The term best is understood here as this standard likelihood-ratio, affine-invariant procedure; a two-sided multidimensional alternative does not specify a single direction to optimize power against.

For the transformed sample $Y_i=A{X}_i+b$, with $A$ the prescribed nonsingular coordinate transformation, we haveConsequentlyThis proves the affine invariance of Hotelling's statistic. The statistic, its p-value and its test decision are unchanged by a nonsingular affine transformation, provided the null mean is transformed with the data. Changes of units and rotations are included.