A new approach for selecting the number of factors

Yin-Ping Chen, Hsin-Cheng Huang and I-Ping Tu

Computational Statistics & Data Analysis, 2010, vol. 54, issue 12, 2990-2998

Abstract: In factor analysis, it is critical to determine the number of factors. A new approach to select the number of factors based on unbiased risk estimation is introduced. This approach utilizes a concept, called generalized degrees of freedom (GDF), originally proposed for model selection in regression. A data perturbation technique is applied for estimating GDF. Simulation experiments show that the proposed method performs better than some commonly used methods.

Date: 2010
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