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Heteroscedastic factor analysis

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  • Sock-Cheng Lewin-Koh

Abstract

Two moment-based model-fitting procedures for the heteroscedastic factor analysis model are introduced and compared. The procedures produce consistent parameter estimators and asymptotically valid inferences for heteroscedasticity without specifying the distributional forms for the factor and heteroscedastic errors. Also, an individual-specific inference procedure for the factor score is developed. Simulation studies show the practical usefulness of the procedures. An example from a morphological measurement study is described. Copyright Biometrika Trust 2003, Oxford University Press.

Suggested Citation

  • Sock-Cheng Lewin-Koh, 2003. "Heteroscedastic factor analysis," Biometrika, Biometrika Trust, vol. 90(1), pages 85-97, March.
    • Handle: RePEc:oup:biomet:v:90:y:2003:i:1:p:85-97
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    Cited by:

    1. Dylan Molenaar, 2015. "Heteroscedastic Latent Trait Models for Dichotomous Data," Psychometrika, Springer;The Psychometric Society, vol. 80(3), pages 625-644, September.
    2. Ando, Tomohiro, 2009. "Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1717-1726, September.

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