A skew factor analysis model based on the normal mean--variance mixture of Birnbaum--Saunders distribution

Farzane Hashemi, Mehrdad Naderi, Ahad Jamalizadeh, Tsung-I Lin*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

This paper presents a robust extension of factor analysis model by assuming the multivariate normal mean–variance mixture of Birnbaum–Saunders distribution for the unobservable factors and errors. A computationally analytical EM-based algorithm is developed to find maximum likelihood estimates of the parameters. The asymptotic standard errors of parameter estimates are derived under an information-based paradigm. Numerical merits of the proposed methodology are illustrated using both simulated and real datasets.
Original languageEnglish
Pages (from-to)3007-3029
Number of pages23
JournalJournal of Applied Statistics
Volume47
Issue number16
Early online date6 Jan 2020
DOIs
Publication statusPublished - 9 Dec 2020
Externally publishedYes

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