Maximum likelihood estimation of multinomial probit factor analysis models for multivariate t-distribution

Jie Jiang, Xinsheng Liu () and Keming Yu

Computational Statistics, 2013, vol. 28, issue 4, 1485-1500

Abstract: We propose a model for multinomial probit factor analysis by assuming t-distribution error in probit factor analysis. To obtain maximum likelihood estimation, we use the Monte Carlo expectation maximization algorithm with its M-step greatly simplified under conditional maximization and its E-step made feasible by Monte Carlo simulation. Standard errors are calculated by using Louis’s method. The methodology is illustrated with numerical simulations. Copyright Springer-Verlag 2013

Keywords: Multinomial probit model; Factor analysis; MCEM algorithm; t-distribution (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:28:y:2013:i:4:p:1485-1500

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DOI: 10.1007/s00180-012-0363-8

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