THE DISTRIBUTION OF THE STUDENTIZED CLASSIFICATION STATISTIC W^* IN COVARIATE DISCRIMINANT ANALYSIS

Abstract

This paper deals with the classification statistic W^* in covariate discriminant analysis with two multivariate normal populations. An asymptotic expansion of the distribution of the Studentized classification statistic W^* is given with an error of the third order of the reciprocal of the number of observations. The expansion will be useful in setting our cut-off point to achieve a specified probability of misclassification.