| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1147179 | Journal of Multivariate Analysis | 2007 | 16 Pages |
Abstract
This paper characterises completely the circumstances in which maximum likelihood estimation of the factor model is feasible when the sample covariance matrix is rank deficient. This situation will arise when the number of variables exceeds the number of observations.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
