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Title: Test for Independence of the Variables with Missing Elements in One and the Same Column of the Empirical Correlation Matrix
Authors: Veleva, Evelina
Keywords: Multivariate Normal Distribution
Wishart Distribution
Correlation Matrix Completion
Maximum Likelihood Ratio Test
Issue Date: 2008
Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation: Serdica Mathematical Journal, Vol. 34, No 2, (2008), 509p-530p
Abstract: 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.
Description: 2000 Mathematics Subject Classification: 62H15, 62H12.
ISSN: 1310-6600
Appears in Collections:Volume 34, Number 2

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