Definition:Factor Analysis
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Definition
Factor analysis is a technique used in statistics which aims to express:
- $p$ observed random variables as linear functions of $m$ factors, where $m < p$
- plus a term representing error or residual variation.
There exist several specifications of the basic problem.
Estimation requires a knowledge of the covariance matrix of the observations.
Also see
- Results about factor analysis can be found here.
Historical Note
The technique of factor analysis was pioneered by Louis Leon Thurstone in $1935$.
Factor analysis was originally used in psychological experiments, so as to try to explain individual test scores in terms of factors such as:
- verbal ability
- arithmetic ability
- manual skill.
Sources
- 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): factor analysis
- 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): factor analysis