Prediction and Sufficiency in the Model Factor Analysis

Ramses H. Abul Naga

STICERD - Distributional Analysis Research Programme Papers from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic is a sufficient statistic for the unobservables when sampling arises from the exponential family of distributions. Linear predictors, on the other hand, can be obtained as distribution-free statistics. We provide conditions under which a class of linear predictors is sufficient for the exponential family of distributions. We also examine various predictors in the light of the following criteria: (I) sufficiency, (ii) mean-square error, and (iii) unbiasedness and illustrate our results with the help of Chinese data on living standards.

Keywords: Latent variables; factor analysis; sufficiency; prediction; exponential family of distributions; living standards analysis (search for similar items in EconPapers)
Date: 1997-11
View list of references

Downloads: (external link)
http://sticerd.lse.ac.uk/dps/darp/darp31.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cep:stidar:31

Access Statistics for this paper

More papers in STICERD - Distributional Analysis Research Programme Papers from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Series data maintained by ().