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COMPARING A NEW ALGORITHM WITH THE CLASSIC METHODS FOR ESTIMATING THE NUMBER OF FACTORS. (R825173)
Citation:
Henry, R. C., E. S. Park, AND C. H. Spiegelman. COMPARING A NEW ALGORITHM WITH THE CLASSIC METHODS FOR ESTIMATING THE NUMBER OF FACTORS. (R825173). CHEMOMETRICS AND INTELLIGENT LABORATORY SYSTEMS. Elsevier Science Ltd, New York, NY, 48(1):91-97, (1999).
Description:
Abstract
This paper presents and compares a new algorithm for finding the number of factors in a data analytic model. After we describe the new method, called NUMFACT, we compare it with standard methods for finding the number of factors to use in a model. The standard methods that we compare NUMFACT with are Malinowski's indicator function, Wold's cross-validation approach, Bartlett's test, scree plots, the rule-of-one, and using the number of factors (eigenvectors) needed to explain 90% of the trace of a correlation matrix. Using a diverse set of real applications, NUMFACT is shown to be the clear method of choice.
Author Keywords: Number of factors; Correlation matrix; Eigenvalues; Eigenvectors; Bartlett's test; Scree plots; Malinowski's indicator function; Cross-validation; NUMFACT