[R] Covariance of data with missing values.

[Rolf Turner]

Thank you ***very*** much Ted and Chuck.  I will install these two  
packages and study
them over, and then in all probability pester you with more questions  
when I find things
that I don't understand!

Thanks again.

			cheers,

				Rolf


On 16/08/2007, at 10:24 AM, Chuck Cleland wrote:

> Ted Harding wrote:
>> Hi Rolf!
>>
>> Have a look at the 'norm' package.
>>
>> This does just what you;re asking for (assuming multivariate
>> normal, and allowing MAR missingness -- i.e. probability of
>> missing may depend on observed values, but must not depend on
>> unobserved).
>>
>> Read the documentation for the various function *very* carefully!
>> Drop me a line if you want more info.
>>
>> Best wishes,
>> Ted.
>
>   Also, consider mlest() in the mvnmle package.
>
>> On 15-Aug-07 21:16:32, Rolf Turner wrote:
>>> I have a data matrix X (n x k, say) each row of which constitutes
>>> an observation of a k-dimensional random variable which I am  
>>> willing,
>>> if not happy, to assume to be Gaussian, with mean ``mu'' and
>>> covariance matrix ``Sigma''. Distinct rows of X may be assumed to
>>> correspond to independent realizations of this random variable.
>>>
>>> Most rows of X (all but 240 out of 6000+ rows) contain one or more
>>> missing values. If I am willing to assume that missing entries are
>>> missing completely at random (MCAR) then I can estimate the  
>>> covariance
>>> matrix Sigma via maximum likelihood, by employing the EM algorithm.
>>> Or so I believe.
>>>
>>> Has this procedure been implemented in R in an accessible form?
>>> I've had a bit of a scrounge through the searching facilities,
>>> and have gone through the FAQ, and have found nothing that I could
>>> discern to be directly relevant.
>>>
>>> Thanks for any pointers that anyone may be able to give.
>>>
>>>                       cheers,
>>>
>>>                               Rolf Turner
>>
>> --------------------------------------------------------------------
>> E-Mail: (Ted Harding) <Ted.Harding at manchester.ac.uk>
>> Fax-to-email: +44 (0)870 094 0861
>> Date: 15-Aug-07                                       Time: 23:17:48
>> ------------------------------ XFMail ------------------------------
>>
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>> PLEASE do read the posting guide http://www.R-project.org/posting- 
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>> and provide commented, minimal, self-contained, reproducible code.
>>
>
>
> -- 
> Chuck Cleland, Ph.D.
> NDRI, Inc.
> 71 West 23rd Street, 8th floor
> New York, NY 10010
> tel: (212) 845-4495 (Tu, Th)
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