Maximum likelihood factor analysis with rank-deficient sample covariance matrices

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.

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Year of publication:	2007
Authors:	Robertson, Donald ; Symons, James
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 98.2007, 4, p. 813-828
Publisher:	Elsevier
Subject:	Factor analysis Maximum likelihood

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153090