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Single and multiple-group penalized factor analysis: a trust-region algorithm approach with integrated automatic multiple tuning parameter selection

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  • Geminiani, Elena
  • Marra, Giampiero
  • Moustaki, Irini

Abstract

Penalized factor analysis is an efficient technique that produces a factor loading matrix with many zero elements thanks to the introduction of sparsity-inducing penalties within the estimation process. However, sparse solutions and stable model selection procedures are only possible if the employed penalty is non-differentiable, which poses certain theoretical and computational challenges. This article proposes a general penalized likelihood-based estimation approach for single and multiple-group factor analysis models. The framework builds upon differentiable approximations of non-differentiable penalties, a theoretically founded definition of degrees of freedom, and an algorithm with integrated automatic multiple tuning parameter selection that exploits second-order analytical derivative information. The proposed approach is evaluated in two simulation studies and illustrated using a real data set. All the necessary routines are integrated into the R package penfa.

Suggested Citation

  • Geminiani, Elena & Marra, Giampiero & Moustaki, Irini, 2021. "Single and multiple-group penalized factor analysis: a trust-region algorithm approach with integrated automatic multiple tuning parameter selection," LSE Research Online Documents on Economics 108873, London School of Economics and Political Science, LSE Library.
  • Handle: RePEc:ehl:lserod:108873
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    References listed on IDEAS

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    Cited by:

    1. Xinyi Liu & Gabriel Wallin & Yunxiao Chen & Irini Moustaki, 2023. "Rotation to Sparse Loadings Using $$L^p$$ L p Losses and Related Inference Problems," Psychometrika, Springer;The Psychometric Society, vol. 88(2), pages 527-553, June.
    2. Liu, Xinyi Lin & Wallin, Gabriel & Chen, Yunxiao & Moustaki, Irini, 2023. "Rotation to sparse loadings using Lp losses and related inference problems," LSE Research Online Documents on Economics 118349, London School of Economics and Political Science, LSE Library.

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    More about this item

    Keywords

    effective degrees of freedom; generalized information criterion; measurement invariance; penalized likelihood; simple structure; CRUI-CARE Agreement; Alma Mater Studiorum - Universitá di Bologna within the CRUI-CARE Agreement;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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