Multivariate Normal Distribution Wishart Distribution Correlation Matrix Completion Maximum Likelihood Ratio Test
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Serdica Mathematical Journal, Vol. 34, No 2, (2008), 509p-530p
We consider variables with joint multivariate normal distribution and suppose that the sample correlation matrix has missing elements, located in one and the same column. Under these assumptions we derive the maximum likelihood ratio test for independence of the variables. We obtain also the maximum likelihood estimations for the missing values.