On maximum likelihood estimation in factor analysis-an algebraic derivation

DOI10.1016/J.SIGPRO.2009.01.002zbMath1161.94375OpenAlexW2026490434WikidataQ62585989 ScholiaQ62585989MaRDI QIDQ1016902

Magnus Jansson, Petre Stoica

Publication date: 14 May 2009

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2009.01.002

zbMATH Keywords

maximum likelihoodfactor analysis

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Applications of statistics (62P99) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

Related Items (3)

Source enumeration based on the singular vector of Hankel matrix for low signal-to-noise ratio ⋮ A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model ⋮ A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors

Cites Work

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• Matrix Analysis
• MUSIC, maximum likelihood, and Cramer-Rao bound
• Cross Entropy Approximation of Structured Gaussian Covariance Matrices
• A trace inequality for matrix product
• VI.—The Estimation of Factor Loadings by the Method of Maximum Likelihood

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