A measure of independence for a multivariate normal distribution and some connections with factor analysis |
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Authors: | Martin Knott |
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Affiliation: | Statistics Department, London School of Economics and Political Science, Houghton Street, London WC2A2AE, UK |
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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. |
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Keywords: | Goodness-of-fit Convex optimisation Minimum trace factor analysis |
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