Question: 5.5. (Sec. 5.2.2) Let T 2=Ni'S-li, where i and S are the mean vector and covariance matrix of a sample of N from N(fL, l:).

5.5. (Sec. 5.2.2) Let T 2=Ni'S-li, where i and S are the mean vector and covariance matrix of a sample of N from N(fL, l:). Show that T2 is distributed the same when fL is repla<..ed by A = (T, 0, ... ,0)', where T2 = fL' l: -I fL, and l: is replaced by 1.

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