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Prediction and Sufficiency in the Model of Factor Analysis

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  • Ramses H. ABUL NAGA

Abstract

We contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic constitutes the set of minimal sufficient statistics 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. The paper provides conditions under which a class of linear predictors is sufficient for the exponential family of distributions.

Suggested Citation

  • Ramses H. ABUL NAGA, 1996. "Prediction and Sufficiency in the Model of Factor Analysis," Cahiers de Recherches Economiques du Département d'économie 9616, Université de Lausanne, Faculté des HEC, Département d’économie.
    • Handle: RePEc:lau:crdeep:9616
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    Cited by:

    1. Riccardo Massari, 2005. "A Measure of Welfare Based on Permanent Income Hypothesis: An Application on Italian Households Budgets," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 64(1), pages 55-92, September.

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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • I30 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - General

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