On Covariance Estimators of Factor Loadings in Factor Analysis

We report a matrix expression for the covariance matrix of MLEs of factor loadings in factor analysis. We then derive the analytical formula for covariance matrix of the covariance estimators of MLEs of factor loadings by obtaining the matrix of partial derivatives, which maps the differential of sample covariance matrix (in vector form) into the differential of the covariance estimators.

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Year of publication:	1998
Authors:	Hayashi, Kentaro ; Kumar Sen, Pranab
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 66.1998, 1, p. 38-45
Publisher:	Elsevier
Subject:	asymptotic normality \| Kronecker product \| maximum likelihood estimator \| vec operator

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

Persistent link: https://www.econbiz.de/10005221623