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Provost, Serge B.

Likelihood ratio test for independence with partial multivariate normal data. (English) Zbl 0644.62062

Commun. Stat., Theory Methods 17, No. 6, 1763-1775 (1988).
Summary: This article derives the likelihood ratio statistic to test the independence between \((X_ 1,...,X_ r)\) and \((X_{r+1},...,X_ k)\) under the assumption that \((X_ 1,...,X_ k)\) has a multivariate normal distribution and that a sample of size n is available, where for N observation vectors all components are available, while for \(M=(n-N)\) observation vectors, the data on the last q components, \((X_{k- q+1},...,X_ k)\) are missing (k-q\(\geq r)\).

MSC:

62H15 Hypothesis testing in multivariate analysis

Keywords:

independence of subvectors; incomplete multivariate data; testing independence; likelihood ratio statistic; multivariate normal distribution
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References:

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