On best affine unbiased covariance-preserving prediction of factor scores

• Autores: Heinz Neudecker
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 28, Nº. 1, 2004, págs. 27-36
• Idioma: inglés
• Títulos paralelos:
  • Sobre la mejor predicción afín no sesgada de medidas de factores que preserva la covarianza
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• Resumen

  • This paper gives a generalization of results presented by ten Berge, Krijnen,Wansbeek & Shapiro. They examined procedures and results as proposed by Anderson & Rubin, McDonald, Green and Krijnen, Wansbeek & ten Berge.We shall consider the same matter, under weaker rank assumptions. We allow some moments, namely the variance O of the observable scores vector and that of the unique factors, ?, to be singular. We require T' ? T > 0, where T ? T' is a Schur decomposition of O. As usual the variance of the common factors, F, and the loadings matrix A will have full column rank.

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