Factor Analysis

Wolfgang Karl Härdle and Leopold Simar
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Wolfgang Karl Härdle: Humboldt-Universität zu Berlin, C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics

Chapter Chapter 12 in Applied Multivariate Statistical Analysis, 2015, pp 359-384 from Springer

Abstract: Abstract A frequently applied paradigm in analysing data from multivariate observations is to model the relevant information (represented in a multivariate variable X) as coming from a limited number of latent factors. In a survey on household consumption, for example, the consumption levels, X, of p different goods during 1 month could be observed. The variations and covariations of the p components of X throughout the survey might in fact be explained by two or three main social behaviour factors of the household. For instance, a basic desire of comfort or the willingness to achieve a certain social level or other social latent concepts might explain most of the consumption behaviour.

Keywords: Factor Model; Factor Score; Specific Variance; Spectral Decomposition; Factor Analysis Model (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/978-3-662-45171-7_12

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