An Asymptotic Expansion for the Distribution of HotellingʹsT2-Statistic under Nonnormality

In this paper we obtain an asymptotic expansion for the distribution of HotellingʹsT2-statisticT2under nonnormality when the sample size is large. In the derivation we find an explicit Edgeworth expansion of the multivariatet-statistic. Our method is to use the Edgeworth expansion and to expand the characteristic function ofT2.