[R] Factor Analysis
Spencer Graves
spencer.graves at pdf.com
Thu Feb 27 18:43:02 CET 2003
To obtain an nonsingular estimate of an (n x n) covariance or
correlation matrix, you need at least (n+1) observations. However, you
can obtain estimates of the largest k singular values or eigenvalues
with only (k+1) observations. The principal components routine must use
something like "eigen" or "svd", which does not require a nonsingular
covariance matrix.
Spencer Graves
rahul.maniar at feri.de wrote:
> Hello,
>
> I am encountering a problem while doing factor analysis in R. I am using
> correlation matrix of the performance data of funds.And it gives me error
> message saying singular matrix in use. Now when I try to find the
> determinant of this matrix it is indeed singular. The problem is when I use
> same matrix for principal component analysis it works. I was wondering if
> any of you could help me with this.
>
> Rahul Maniar
>
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