Asymptotic properties of a correlation matrix under a two-step monotone incomplete sample

作者：Tsukada Shin ichi^*

来源：Linear Algebra and Its Applications, 2016, 488: 86-101.

DOI：10.1016/j.laa.2015.09.035

• Correlation matrix
• Asymptotic distribution
• Monotone incomplete sample

This paper derives an asymptotic distribution for a correlation matrix in the context of a two-step monotone incomplete sample drawn from Np+q( mu, Sigma), a multivariate normal population with mean mu and covariance matrix Sigma. Based on the result, we perform hypothesis testing for the correlation matrix and investigate its accuracy using numerical simulations.

• 出版日期2016-1-1