Hotelling's T-squared Distribution - The Distribution

The Distribution

If the notation is used to denote a random variable having Hotelling's T-squared distribution with parameters and then, if a random variable has Hotelling's T-squared distribution,

X \sim T^2_{p,m}

then

\frac{m-p+1}{pm} X\sim F_{p,m-p+1}

where is the F-distribution with parameters and .

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