On maximum likelihood estimation in factor analysis : an algebraic derivation

• The maximum likelihood estimate in factor analysis is typically  obtained as the solution of the stationary point equation of the likelihood function. This type of derivation suffers from two problems: it is rather cumbersome and, in fact, it is incomplete as it does not include a proof that the so-obtained estimate is indeed a global maximum point of the likelihood function. In this note we present a simple algebraic derivation of the maximum likelihood estimate in factor models with spherical noise that applies to the general complex-valued data case.

Ämnesord

NATURVETENSKAP  -- Data- och informationsvetenskap (hsv//swe)

NATURAL SCIENCES  -- Computer and Information Sciences (hsv//eng)

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)

Nyckelord

Factor analysis

Maximum likelihood

Information technology

Informationsteknik

Publikations- och innehållstyp

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