Computational algorithms for the factor model
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 15 (1) , 227-259
- https://doi.org/10.1080/03610918608812503
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
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