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Factor Analysis

In: Applied Multivariate Statistical Analysis

Author

Listed:
  • Wolfgang Karl Härdle

    (Humboldt-Universität zu Berlin, C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics)

  • Léopold Simar

    (Katholieke Univeristeit Leuven Inst. Statistics, Center of Operations Research & Econometrics (CORE))

Abstract

A frequently applied paradigm in analysing data from multivariate observations is to model the relevant information (represented in a multivariate variable X) as coming from a limited number of latent factors. In a survey on household consumption, for example, the consumption levels, X, of p different goods during 1 month could be observed. The variations and covariations of the p components of X throughout the survey might in fact be explained by two or three main social behaviour factors of the household. For instance, a basic desire of comfort or the willingness to achieve a certain social level or other social latent concepts might explain most of the consumption behaviour.

Suggested Citation

  • Wolfgang Karl Härdle & Léopold Simar, 2015. "Factor Analysis," Springer Books, in: Applied Multivariate Statistical Analysis, edition 4, chapter 0, pages 359-384, Springer.
    • Handle: RePEc:spr:sprchp:978-3-662-45171-7_12
    DOI: 10.1007/978-3-662-45171-7_12
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