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

DOI10.1016/J.JMVA.2004.10.013MaRDI QIDQ2581831zbMATH OpenOpenAlexFDO

Authors Martin Knott

Publication date 10 January 2006

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2004.10.013

zbMATH Keywords

Convex optimisationGoodness-of-fitMinimum trace factor analysis

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Contingency tables (62H17) Measures of association (correlation, canonical correlation, etc.) (62H20) Factor analysis and principal components; correspondence analysis (62H25)

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Cites work

• A quasi-newton method for minimum trace factor analysis
• Computational aspects of the greatest lower bound to the reliability and constrained minimum trace factor analysis
• Handbook of semidefinite programming. Theory, algorithms, and applications
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• scientific article; zbMATH DE number 646828 (Why is no real title available?)
• scientific article; zbMATH DE number 2188755 (Why is no real title available?)
• Minimum rank and minimum trace of covariance matrices
• Rank-reducibility of a symmetric matrix and sampling theory of minimum trace factor analysis
• The mixture index of fit and minimax regression.

Cited in

(2)

• scientific article; zbMATH DE number 716164 (Why is no real title available?)
• On Some Association Measures in the Multivariate Normal Distribution

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