Multivariate Analysis: Discriminant Analysis and Factor Analysis

Cheng-Few Lee (), Hong-Yi Chen () and John Lee ()
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Cheng-Few Lee: Rutgers University, Department of Finance and Economics, Rutgers Business School
Hong-Yi Chen: National Chengchi University, Department of Finance
John Lee: Center for PBBEF Research

Chapter Chapter 16 in Financial Econometrics, Mathematics and Statistics, 2019, pp 439-457 from Springer

Abstract: Abstract In this chapter, we discuss two multivariate analysis models, which include discriminant analysis and factor analysisFactor analysis. In addition, we discuss principal component analysis. The derivations of both discriminant analysis and principal component analysis are presented in Appendices 1 and 2. It is also shown that two groups of discriminant analysis can be analyzed in terms of dummy regression analysis.

Keywords: Factor analysis; k-group discriminant analysis; Linear algebra; Principal component analysis; Two-group discriminant analysis (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4939-9429-8_16

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DOI: 10.1007/978-1-4939-9429-8_16

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