Cross-Validation Of Covariance Structures

Multivariate Behav Res. 1983 Apr 1;18(2):147-67. doi: 10.1207/s15327906mbr1802_2.


This paper examines methods for comparing the suitability of alternative models for covariance matrices. A cross-validation procedure is suggested and its properties are examined. To motivate the discussion, a series of examples is presented using longitudinal data.