Biometrika (1990), 77, 2, pp.

443
Printed in Great Britain

On the normal approximation to the Lawley—Hotelling

trace criterion
BY TITO A. MIJARES
Polytechnic University of the Philippines/ National Statistics Office Graduate Programme in Applied
Statistics, Manila, Philippines
SUMMARY
Significance points of the Lawley-Hotelling trace criterion for a linear hypothesis can be
approximated by using the normal distribution with correct first two moments.
Some key words: Hotelling's generalized TJJ; Lawley's test; Pillai's l/*' test; Trace test.

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An earlier paper (Mijares, 1990) showed that the o-significance points of the Bartlett-Nanda-
Pillai trace criterion tr {//(//+ G)" 1 }, where H and G are Wishart matrices with m'and n' degrees
of freedom respectively, can be approximated by using the normal distribution. The present paper
also considers the normal approximation to a related criterion (n'/m') tr (HG~l), known in the
current literature as Lawley-Hotelling's Tl (Hotelling, 1931,1951; Lawley, 1938). Results in
selected ranges of s, m' and n' are compared with the exact percentage points tabulated earlier
by A. W. Davis and given by Anderson (1984, pp. 616-9). Good agreement is obtained.
The mean and variance of tr(//G~') are (Pillai & Samson, 1959)

Ml
~ n ' M2~ n 2 (n-l)(2n
where the parameters m = $(m'-s — l) and n = $(n'-s-l) are functions of the number of variates
and/or size of the sample, and s is the number of nonnull roots. Using fi, and fi2, the a-significance
points for a = 0-05 and 0-01 of the normal approximation to (n'/m') tr(HG~') have been
calculated in the region s *£ m'« 25, 8 < n'«£ 100 and for s = 2,..., 10. The approximation is not
defined when n = 0 or 1.
Approximations to two significant digits were compared with Davis's tables. At the 5% sig-
nificance level, the normal approximation was achieving 97% to 100% two-digit accuracy in most
parts of the region while at the 1% significance level, the accuracy was slightly less, 92% to 100%,
when n'5*40. The least accuracy observed was 70% when s = 2, m' = 5 and n' = 8. Accuracy
generally increases with increasing s, n' and m'. Detailed numerical results are available by writing
to the author.
Provided m' and n' are not too small, one may conclude that the o-perccntage points of
Lawley-Hotelling's T2, can be approximated by the normal distribution with correct first two
moments.

REFERENCES
ANDERSON, T. W. (1984). An Introduction to Multivariate Statistical Analysis, 2nd ed. New York: Wiley.
HOTELLINO, H. (1931). The generalization of Student's ratio. Ann. Math. Statist 2, 360-78.
HOTELLINO, H. (1951). A generalized T-test and measure of multivariate dispersion. Proc 2nd Berkeley
Symp., 23-41.
LAWLEY, D. N. (1938). A generalization of Fisher's r-test Biometrika 30, 180-7.
MDARES, T. A. (1990). The normal approximation of the Bartlett-Nanda-Pillai trace test in multivariate
analysis. Biometrika Tl, 230-3.
PiLLAl, K. C. S. & SAMSON, P. Jr. (1959). On Hotelling's generalization of T2. Biometrika 46, 160-8.
[Received July 1989. Revised October 1989]