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Computational algorithms for the factor model
Authors:Sastry G. Pantula  Wayne A. Fuller
Affiliation:1. Statistics Department , North Carolina State University , Raleigh, North Carolina, 27607;2. Statistics Department , Iowa State University , Ames, Iowa, 50011
Abstract:Algorithms for computing the maximum likelihood estimators and the estimated covariance matrix of the estimators of the factor model are derived. The algorithms are particularly suitable for large matrices and for samples that give zero estimates of some error variances. A method of constructing estimators for reduced models is presented. The algorithms can also be used for the multivariate errors-in-variables model with known error covariance matrix.
Keywords:factor analyses  errors-in-variables maximum likelihood estimation  computation of factor loadings
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