ABSTRACT
Hence the joint distribution of under H0 does not depend on q. Taking Y1,…, Yn to be independent and identically distributed Np(0, I) and using (6.73) we get
Q.E.D.
Invariance and Ratio of Densities of T2
Let Gl (p) be the multiplicative group of p×p nonsingular matrices g transforming
From Section 7.2 a maximal invariant under
Gl (p) in the space of is corresponding maximal invariant in the parametric space is d2=nµ'S-1µ. The distribution of T2 depends on the parameters only through d2.
