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Exploratory factor analysis-Parameter estimation and scores prediction with high-dimensional data
Stockholm University, Faculty of Science, Department of Mathematics.
Number of Authors: 2
2016 (English)In: Journal of Multivariate Analysis, ISSN 0047-259X, E-ISSN 1095-7243, Vol. 148, 49-59 p.Article in journal (Refereed) Published
Abstract [en]

In an approach aiming at high-dimensional situations, we first introduce a distribution-free approach to parameter estimation in the standard random factor model, that is shown to lead to the same estimating equations as maximum likelihood estimation under normality. The derivation is considerably simpler, and works equally well in the case of more variables than observations (p > n). We next concentrate on the latter case and show results of type: Albeit factor, loadings and specific variances cannot be precisely estimated unless n is large, this is not needed for the factor scores to be precise, but only that p is large; A classical fixed point iteration method can be expected to converge safely and rapidly, provided p is large. A microarray data set, with p = 2000 and n = 22, is used to illustrate this theoretical result.

Place, publisher, year, edition, pages
2016. Vol. 148, 49-59 p.
Keyword [en]
EFA, FA, Factor score estimation, Fixed point iteration, Likelihood equations, More variables than observations, SVD
National Category
URN: urn:nbn:se:su:diva-131188DOI: 10.1016/j.jmva.2016.02.013ISI: 000375826400004OAI: diva2:939830
Available from: 2016-06-20 Created: 2016-06-14 Last updated: 2016-06-20Bibliographically approved

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Sundberg, Rolf
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