Aitken's generalized least squares (GLS) principle, with the inverse of the observed variance-covariance matrix as a weight matrix, is applied to estimate the factor analysis model in the exploratory (unrestricted) case. It is shown that the GLS estimates are seale free and asymptotically efficient. The estimates are computed by a rapidly converging Newton-Raphson procedure. A new technique is used to deal with Heywood cases effectively. © 1972 Psychometric Society.
CITATION STYLE
Jöreskog, K. G., & Goldberger, A. S. (1972). Factor analysis by generalized least squares. Psychometrika, 37(3), 243–260. https://doi.org/10.1007/BF02306782
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