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Factor Analysis by Generalized Least Squares

Author(s):
Goldberger, Arthur S.; Joreskog, Karl G.
Publication Year:
1971
Report Number:
RB-71-26
Source:
ETS Research Bulletin
Document Type:
Report
Page Count:
34
Subject/Key Words:
University of Wisconsin Graduate School Research Committee, Aitkin, Murray A., Factor Analysis, Mathematical Models, Mathematics, Newton-Raphson Method, Statistics, Transformations (Mathematics)

Abstract

Aitkin's generalized least squares (GLS) principle, with the inverse of the observed variance-covariance matrix as a weight matrix, is applied to estimate the factor analysis model in the exploratory (unrestricted) case. It is shown that the GLS estimates are scale free and asymptotically efficient. The estimates are computed by a rapidly converging Newton-Raphson procedure. A new technique is used to deal with Heywood cases, effectively. (Author)

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