[R] Factor Analysis

Prof Brian Ripley ripley at stats.ox.ac.uk
Fri Jan 27 21:50:01 CET 2006

On Fri, 27 Jan 2006, Krish Krishnan wrote:

> I am very new to factor analysis as well as R.  I am trying to run a 
> factor analysis on the residual returns on common stock (residual to 
> some model) and trying to determine if there are any strong factors 
> remaining.  After running factanal, I can obtain the factor loadings but 
> how do I get the values of the factor returns themselves?  In other 
> words if the relationship is
> r = lambda * f
> I prrovide r, factanal estimates the lambdas (factor loadings).  But how do I get the
> f values? Am I looking at this too much from a multivariate regression angle?

Please consult the help page.  The model has an error term.  I don't know
what you mean by 'r': are these correlations or 'x'?

I think you are asking for the scores, which factanal optionally provides.

It is not clear from your description if PCA would not be more 

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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