Simultaneous parameter estimation in exploratory factor analysis: An expository review

The classical exploratory factor analysis (EFA) finds estimates for the factor loadings matrix and the matrix of unique factor variances which give the best fit to the sample correlation matrix with respect to some goodness-of-fit criterion. Common factor scores can be obtained as a function of these estimates and the data. Alternatively to the classical EFA, the EFA model can be fitted directly to the data which yields factor loadings and common factor scores simultaneously. Recently, new algorithms were introduced for the simultaneous least squares estimation of all EFA model unknowns. The new methods are based on the numerical procedure for singular value decomposition of matrices and work equally well when the number of variables exceeds the number of observations. This paper provides an account that is intended as an expository review of methods for simultaneous parameter estimation in EFA. The methods are illustrated on Harman’s five socio-economic variables data and a high-dimensional data set from genome research.