Consistency conditions on the least squares estimator in single common factor analysis model (Q1073507)

This paper is concerned with the consistency of estimators in a single common factor analysis model when the dimension of the observed vector is not fixed. In the model several conditions on the sample size n and the dimension p are established for the least squares estimator (L.S.E) to be consistent. Under some assumptions, p/n\(\to 0\) is a necessary and sufficient condition that the L.S.E. converges in probability to the true value. A sufficient condition for almost sure convergence is also given.