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MathGroup Archive 2000

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Multivariate Statistics with holy data

  • To: mathgroup at smc.vnet.net
  • Subject: [mg25619] Multivariate Statistics with holy data
  • From: Chris Johnson <cjohnson at shell.faradic.net>
  • Date: Mon, 16 Oct 2000 03:04:41 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

This may be heretical, but I'm trying to calculate a covariance matrix on
historic data where I'm missing some points in some series.  This was
being done in Excel, which varied the size of n for each pair of vectors
when constructing the matrix.

Mathematica seems to use the symbol Null for missing data, and creates a
cov matrix symbolically with the n constant for each series.

Question 1: Is there a way to make Mathematica ignore the missing data
points automatically?

Question 2: The resulting matrix will probably not be positive definite
(which CovarianceMatrixMLE[] will reject).  Are there any references out
there to learn more about alternatives like the DispersionMatrix function?

Thanks for any help/advice.

Chris



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