A measure of independence for a multivariate normal distribution and some connections with factor analysis
Knott, M.
(2005).
A measure of independence for a multivariate normal distribution and some connections with factor analysis.
Journal of Multivariate Analysis,
96(2), 374-383.
https://doi.org/10.1016/j.jmva.2004.10.013
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 |
|---|---|
| Copyright holders | © 2005 Elsevier |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1016/j.jmva.2004.10.013 |
| Date Deposited | 08 Sep 2008 |
| URI | https://researchonline.lse.ac.uk/id/eprint/16368 |
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- https://www.scopus.com/pages/publications/26844432777 (Scopus publication)
- http://www.elsevier.com/locate/jmva (Official URL)