A measure of independence for a multivariate normal distribution and some connections with factor analysis

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.

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Year of publication:	2005
Authors:	Knott, Martin
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 96.2005, 2, p. 374-383
Publisher:	Elsevier
Keywords:	Goodness-of-fit Convex optimisation Minimum trace factor analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106956