This paper gives a generalization of results presented by ten Berge, Krijnen,Wansbeek & Shapiro. They examined procedures and results as proposed by Anderson & Rubin, McDonald, Green and Krijnen, Wansbeek & ten Berge.We shall consider the same matter, under weaker rank assumptions. We allow some moments, namely the variance Ω of the observable scores vector and that of the unique factors, Ψ, to be singular. We require T' Ψ T > 0, where T Λ T' is a Schur decomposition of Ω. As usual the variance of the common factors, Φ, and the loadings matrix A will have full column rank.
@article{urn:eudml:doc:40448,
title = {On best affine unbiased covariance-preserving prediction of factor scores.},
journal = {SORT},
volume = {28},
year = {2004},
pages = {27-36},
mrnumber = {MR2076034},
zbl = {1274.62411},
language = {en},
url = {http://dml.mathdoc.fr/item/urn:eudml:doc:40448}
}
Neudecker, Heinz. On best affine unbiased covariance-preserving prediction of factor scores.. SORT, Tome 28 (2004) pp. 27-36. http://gdmltest.u-ga.fr/item/urn:eudml:doc:40448/