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On maximum likelihood estimation in factor analysis-An algebraic derivation
Division of Systems and Control, Department of Information Technology, Uppsala University, Uppsala, Sweden.
KTH, Skolan för elektro- och systemteknik (EES), Signalbehandling. KTH, Skolan för elektro- och systemteknik (EES), Centra, ACCESS Linnaeus Centre.ORCID-id: 0000-0002-6855-5868
2009 (engelsk)Inngår i: Signal Processing, ISSN 0165-1684, E-ISSN 1872-7557, Vol. 89, nr 6, s. 1260-1262Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

The maximum likelihood estimate in factor analysis is typically obtained as the solution of the stationary point equation of the likelihood function. This type of derivation suffers from two problems: it is rather cumbersome and, in fact, it is incomplete as it does not include a proof that the so-obtained estimate is indeed a global maximum point of the likelihood function. In this note we present a simple algebraic derivation of the maximum likelihood estimate in factor models with spherical noise that applies to the general complex-valued data case.

sted, utgiver, år, opplag, sider
2009. Vol. 89, nr 6, s. 1260-1262
Emneord [en]
Factor analysis, Maximum likelihood
HSV kategori
Identifikatorer
URN: urn:nbn:se:kth:diva-18335DOI: 10.1016/j.sigpro.2009.01.002ISI: 000264941900031Scopus ID: 2-s2.0-60749102869OAI: oai:DiVA.org:kth-18335DiVA, id: diva2:336381
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QC 20100525Tilgjengelig fra: 2010-08-05 Laget: 2010-08-05 Sist oppdatert: 2017-12-12bibliografisk kontrollert

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