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

Martin Knott

Journal of Multivariate Analysis, 2005, vol. 96, issue 2, 374-383

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.

Keywords: Goodness-of-fit; Convex; optimisation; Minimum; trace; factor; analysis (search for similar items in EconPapers)
Date: 2005
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