Maximum likelihood factor analysis with rank-deficient sample covariance matrices

Donald Robertson and James Symons

Journal of Multivariate Analysis, 2007, vol. 98, issue 4, 813-828

Abstract: This paper characterises completely the circumstances in which maximum likelihood estimation of the factor model is feasible when the sample covariance matrix is rank deficient. This situation will arise when the number of variables exceeds the number of observations.

Keywords: Factor; analysis; Maximum; likelihood (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (9)

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