Matrix Reduction and Approximation to Principal Axes
Paul Horst · Psychometrika · 1962
A modification of Hotelling’s iteration method of factor analysis is presented which is much more rapid and almost as accurate. At any stage of the approximation for a factor vector its major product moment reduces the rank of the residual matrix by precisely one. Each approximation to an eigenvalue is larger than the preceding one. By observing the decline in these increments one can often stop the iterations at early stages without serious loss. If subsequent rotational procedures are used, the method gives practically the same results as the more exact methods and in a small fraction of the time.