Best linear predictors for factor scores

Wim P Krijnen, Tom Wansbeek, Jos M F ten Berge

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

From the literature three types of predictors for factor scores are available. These are characterized by the constraints: linear, linear conditionally unbiased, and linear correlation preserving. Each of these constraints generates a class of predictors. Best predictors are defined in terms of L?wner's partial matrix order applied to matrices of mean square error of prediction. It is shown that within the first two classes a best predictor exists and that it does not exist in the third. Copyright ? 1996 by Marcel Dekker, Inc.
Original languageEnglish
Pages (from-to)3013-3025
JournalCommunications in statistics - Theory and methods
Volume25
Issue number12
DOIs
Publication statusPublished - 23 Dec 2010

Keywords

  • statistics

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