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st: RE: RE: covariance matrix estimation with incomplete data


From   "FEIVESON, ALAN H. (AL) (JSC-SK311) (NASA)" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: RE: RE: covariance matrix estimation with incomplete data
Date   Thu, 1 Dec 2005 11:20:13 -0600

There are published alogrithms for doing this - basically an EM procedure. 

For example http://www2.sas.com/proceedings/sugi30/111-30.pdf

I know SAS has has a procedure for this. It seems to me that this problem
comes up often enough that Stata should have this capability also.

Al 

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Nick Cox
Sent: Thursday, December 01, 2005 11:12 AM
To: [email protected]
Subject: st: RE: covariance matrix estimation with incomplete data

How would you want the program to do that? 

Nick
[email protected] 

FEIVESON, ALAN H. (modulo HTML)  
 
 I'm sure this has been asked before, but I can't find any reference to this
by searching Stata's FAQ's or by using findit - so I'll ask it again - Does
anyone know of a Stata program for maximum-likelihood (under a multivariate
normal model) estimation of a covariance matrix when incomplete data vectors
are present?

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