Hotellings T square distribution
The Hotellings T square distribution is the distribution of the squared Mahalanobis distances with respected to estimated variance covariance matrices.
qHotellingsTsq(p,n,m) pHotellingsTsq(q,n,m)
p |
a (vector of) probabilities |
q |
a vector of quantils |
n |
number of parameters, the p parameter of Hotellings T^2 distribution |
m |
number of dimensions, the m parameter of the Hotellings T^2 distribution |
The Hotellings T^2 with paramter p and m is the distribution empirical squared Mahalanobis distances of a m dimensional vector with respect to a variance covariance matrix estimated based on np degrees of freedom.
qHotellingsT2 |
a vector of quantils |
pHotellingsT2 |
a vector of probabilities |
K.Gerald v.d. Boogaart http://www.stat.boogaart.de
(q <- qHotellingsTsq(seq(0,0.9,by=0.1),3,25)) pHotellingsTsq(q,3,25)
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