Factor Analysis: A Brief Introduction | Multivariate Statistical Analysis (Part 16)

A short introduction to factor analysis, from the model and its assumptions to the covariance calculations. We derive the common and specific variance contributions, explain loadings and communalities, and work through a one-factor example. We then introduce principal-component extraction and derive unweighted least-squares factor scores. Chapters: 00:00 A model for shared variation 02:00 Deriving the covariance 03:55 Communality and specific variance 05:51 A principal-component approximation 08:04 Calculating factor-score proxies The next lesson works through the calculations and illustrations in Python. Richard A. Johnson and Dean W. Wichern, Applied Multivariate Statistical Analysis, 6th ed., Pearson Prentice Hall, 2007.