An efficient algorithm for computing covariance matrices from data with missing values

DOI10.1080/03610918208812248zbMath0505.62049OpenAlexW2046205612MaRDI QIDQ4742169

Laszlo Engelman

Publication date: 1982

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918208812248

zbMATH Keywords

Fortran codecorrelation matricesmissing valuesalgorithm 82-01ALLVALUE correlationsALLVALUE covariancecomputing covariance matricesCORPAIR correlationcost of computingCOVPAIR correlationsCOVPAIR covariance

Mathematics Subject Classification ID

Multivariate analysis (62H99) Software, source code, etc. for problems pertaining to statistics (62-04) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Computation of the mean vector and dispersion matrix for incomplete multivariate data

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