Knott, Martin (2005) A measure of independence for a multivariate normal distribution and some connections with factor analysis. Journal of multivariate analysis, 96 (2). pp. 374-383. ISSN 0047-259X
Abstract
This paper gives results for the population value of a measure of the goodness-of-fit of a general multivariate normal distribution to the simpler hypothesis of independent normal variables. The measure was introduced by Rudas, Clogg and Lindsay in 1994, who gave the value for the bivariate normal distribution. Connections with factor analysis are briefly discussed.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.elsevier.com/locate/jmva |
| Additional Information: | © 2005 Elsevier |
| Uncontrolled Keywords: | goodness-of-fit, convex optimisation, minimum trace factor analysis |
| Library of Congress subject classification: | Q Science > QA Mathematics H Social Sciences > HA Statistics |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/16368/ |
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