Definition:Factor Analysis

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