Some new results on correlation-preserving factor scores prediction methods

Citation
Jmf. Ten Berge et al., Some new results on correlation-preserving factor scores prediction methods, LIN ALG APP, 289(1-3), 1999, pp. 311-318
Citations number
8
Categorie Soggetti
Mathematics
Journal title
LINEAR ALGEBRA AND ITS APPLICATIONS
ISSN journal
00243795 → ACNP
Volume
289
Issue
1-3
Year of publication
1999
Pages
311 - 318
Database
ISI
SICI code
0024-3795(19990301)289:1-3<311:SNROCF>2.0.ZU;2-V
Abstract
Anderson and Rubin and McDonald have proposed a correlation-preserving meth od of factor scores prediction which minimizes the trace of a residual cova riance matrix for variables. Green has proposed a correlation-preserving me thod which minimizes the trace of a residual covariance matrix for factors. Krijnen, Wansbeek and Ten Berge have proposed minimizing the determinant r ather than the trace of the latter covariance matrix, and offered an iterat ive procedure to that effect. In the present paper it is shown that the ite rative procedure can be replaced by a closed-form solution. When all unique variances are strictly positive, this solution is the same as McDonald's, The solution coincides with Green's solution in certain special cases, for instance, when the factors are orthogonal. (C) 1999 Published by Elsevier S cience Inc. All rights reserved.