Factor model estimation by using the alpha-EM algorithm
Tengjie Jia · 2013
In this paper, we present the alpha-EM algorithm for factor model estimation for given sample covariance. The alpha-EM includes the traditional log-EM as its proper subset. Since we use log-EM for factor analysis, however, it is shown that alpha-EM can also be used on factor analysis and more important the convergence speed of the alpha-EM is much faster than log-EM. It also allows us to choose different alphas to achieve the fastest convergence speed and more accurate factor model estimation.