Prediction and Sufficiency in the Model of Factor Analysis

Ramses H. Abul Naga

Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) from Université de Lausanne, Faculté des HEC, DEEP

Abstract: We contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic constitutes the set of minimal sufficient statistics 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. The paper provides conditions under which a class of linear predictors is sufficient for the exponential family of distributions.

Keywords: latent variables; factor analysis; sufficiency; prediction; exponential familiy of distributions; living standards analysis (search for similar items in EconPapers)
JEL-codes: C10 C40 C80 I30 (search for similar items in EconPapers)
Date: 1996-06
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Persistent link: http://EconPapers.repec.org/RePEc:lau:crdeep:9616

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