Order-invariant prior specification in Bayesian factor analysis

DOI10.1016/J.SPL.2016.01.006MaRDI QIDQ273834zbMATH OpenOpenAlexWikidataFDO

Authors Dennis Leung, Mathias Drton

Publication date 22 April 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.7672

zbMATH Keywords

exploratory factor analysislatent factor modelpermutation invariance

Mathematics Subject Classification ID

Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: In (exploratory) factor analysis, the loading matrix is identified only up to orthogonal rotation. For identifiability, one thus often takes the loading matrix to be lower triangular with positive diagonal entries. In Bayesian inference, a standard practice is then to specify a prior under which the loadings are independent, the off-diagonal loadings are normally distributed, and the diagonal loadings follow a truncated normal distribution. This prior specification, however, depends in an important way on how the variables and associated rows of the loading matrix are ordered. We show how a minor modification of the approach allows one to compute with the identifiable lower triangular loading matrix but maintain invariance properties under reordering of the variables.

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Cited in

(6)

• Mixtures of multivariate restricted skew-normal factor analyzer models in a Bayesian framework
• Structured prior distributions for the covariance matrix in latent factor models
• A Bayesian sparse factor model with adaptive posterior concentration
• On the identifiability of Bayesian factor analytic models
• Invariant inference and efficient computation in the static factor model
• A Mode-Jumping Algorithm for Bayesian Factor Analysis

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Uses Software

• Mcmcpack

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