In this work we develop a transformation theory for linear Hamiltonian systems on an arbitrary time scale T. We prove that, under suitable assumptions, a linear Hamiltonian system is transformed into a system of the same form, which includes the corresponding continuous (T=R) and discrete (T=Z) results as special cases. Since we allow the matrix B to be singular, the important Sturm-Liouville equations of higher order may be studied as a special linear Hamiltonian system.