ABSTRACT
To determine C we need the distribution of under H0. The
following lemma will show that the distribution of T2 under H0 does not depend on a particular choice of q in (7.85). Taking, in particular, X1,…, Xn to be independently and identically distributed Np(0, S) we conclude from (6.60) that
has Hotelling’s T2 distribution with n-1 degrees of freedom under H0.
