Prediction and Sufficiency in the Model Factor Analysis
AbstractWe contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic is a sufficient statistic for the unobservables when sampling arises from the exponential family of distributions. Linear predictors, on the other hand, can be obtained as distribution-free statistics. We provide conditions under which a class of linear predictors is sufficient for the exponential family of distributions. We also examine various predictors in the light of the following criteria: (I) sufficiency, (ii) mean-square error, and (iii) unbiasedness and illustrate our results with the help of Chinese data on living standards.
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Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Distributional Analysis Research Programme Papers with number 31.
Date of creation: Nov 1997
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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
Latent variables; factor analysis; sufficiency; prediction; exponential family of distributions; living standards analysis;
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