Rotation to sparse loadings using L^p losses and related inference problems
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Rotation to sparse loadings using \(L^p\) losses and related inference problems
Abstract: Researchers have widely used exploratory factor analysis (EFA) to learn the latent structure underlying multivariate data. Rotation and regularised estimation are two classes of methods in EFA that they often use to find interpretable loading matrices. In this paper we propose a new family of oblique rotations based on component-wise loss functions that is closely related to an regularised estimator. We develop model selection and post-selection inference procedures based on the proposed rotation method. When the true loading matrix is sparse, the proposed method tends to outperform traditional rotation and regularised estimation methods in terms of statistical accuracy and computational cost. Since the proposed loss functions are nonsmooth, we develop an iteratively reweighted gradient projection algorithm for solving the optimisation problem. We also develop theoretical results that establish the statistical consistency of the estimation, model selection, and post-selection inference. We evaluate the proposed method and compare it with regularised estimation and traditional rotation methods via simulation studies. We further illustrate it using an application to the Big Five personality assessment.
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(8)- Riemannian Newton and trust‐region algorithms for analytic rotation in exploratory factor analysis
- The sparse dynamic factor model: a regularised quasi-maximum likelihood approach
- Cover it up! Bipartite graphs uncover identifiability in sparse factor analysis
- Exact exploratory bi-factor analysis: a constraint-based optimization approach
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