A dichotomous behavior of Guttman-Kaiser criterion from equi-correlated normal population

DOI10.22342/JIMS.28.3.1158.272-303zbMATH Open1524.62282arXiv2210.12580MaRDI QIDQ6414801FDOQ6414801

Authors: Yohji Akama, Atina Husnaqilati 

Publication date: 22 October 2022

Abstract: We consider a $p$-dimensional, centered normal population such that all variables have a positive variance $sigm{a}^2$ and any correlation coefficient between different variables is a given nonnegative constant $ho<1$. Suppose that both the sample size $n$ and population dimension $p$ tend to infinity with $p/noc>0$. We prove that the limiting spectral distribution of a sample correlation matrix is Marv{c}enko-Pastur distribution of index $c$ and scale parameter $1-ho$. By the limiting spectral distributions, we rigorously show the limiting behavior of widespread stopping rules Guttman-Kaiser criterion and cumulative-percentage-of-variation rule in PCA and EFA. As a result, we establish the following dichotomous behavior of Guttman-Kaiser criterion when both $n$ and $p$ are large, but $p/n$ is small: (1) the criterion retains a small number of variables for $ho>0$, as suggested by Kaiser, Humphreys, and Tucker [Kaiser, H. F. (1992). On Cliff's formula, the Kaiser-Guttman rule and the number of factors. Percept. Mot. Ski. 74]; and (2) the criterion retains $p/2$ variables for $ho=0$, as in a simulation study [Yeomans, K. A. and Golder, P. A. (1982). The Guttman-Kaiser criterion as a predictor of the number of common factors. J. Royal Stat. Soc. Series D. 31(3)].

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25)

This page was built for publication: A dichotomous behavior of Guttman-Kaiser criterion from equi-correlated normal population

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6414801)