Maximum likelihood factor analysis with rank-deficient sample covariance matrices

Authors:
Donald Robertson;James Symons
Affiliations:
University of Cambridge, UK;University College London, UK
Venue:
Journal of Multivariate Analysis
Year:
2007

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Abstract

This paper characterises completely the circumstances in which maximum likelihood estimation of the factor model is feasible when the sample covariance matrix is rank deficient. This situation will arise when the number of variables exceeds the number of observations.