On Covariance Estimators of Factor Loadings in Factor Analysis

Abstract

We report a matrix expression for the covariance matrix of MLEs of factor loadings in factor analysis. We then derive the analytical formula for covariance matrix of the covariance estimators of MLEs of factor loadings by obtaining the matrix of partial derivatives, which maps the differential of sample covariance matrix (in vector form) into the differential of the covariance estimators. © 1998 Academic Press.