COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 723

"An Everywhere Convergent Series Representative
of the Distribution of Hotelling's Generalized T₀²"

Peter C.B. Phillips

September 1984

A new series representation of the exact distribution of Hotelling's generalized T₀² statistic is found which is everywhere convergent. Earlier results by Constantine which are convergent on the interval [0,1) are also derived from the formulae given here. The new results are made possible by the use of a matrix operator calculus developed by the author.

JEL Classification: 62H10, 62E15

Keywords: Hotelling's T₀², Matrix operator calculus, Invariant polynomialsof matrix argument

See CFP 675