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

By Martin Knott

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

Topics: QA Mathematics, HA Statistics
Publisher: Elsevier B V
Year: 2005
DOI identifier: 10.1016/j.jmva.2004.10.013
OAI identifier: oai:eprints.lse.ac.uk:16368
Provided by: LSE Research Online
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