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Biometrika 1975 62(3):673-678; doi:10.1093/biomet/62.3.673
© 1975 by Biometrika Trust
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A multivariate correction for attenuation

R. DARRELL BOCK and ANNE C. PETERSEN

Departments of Behavioral Science and Psychiatry, University of Chicago

A method is given for the joint correction for attenuation of all pairwise correlations among p variates, subject to the restriotion that the resulting correlation matrix be at least positive-semidefinite. The errors need not be assumed uncorrelated, but their covariance matrix must be positive-definite. The procedure is shown to yield maximum likelihood estimates of ‘true’ and ‘error’ component covariance matrices under the restriction.

Key Words: Correction for attenuation • Covariance components • Measurement error • Restricted maximum likelihood estimation


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