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 ###################################################################### Attention:\ This e-mail message is privileged and confidenti...{{dropped}} ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.