A necessary and sufficient condition for the identification of a single-factor model with correlated residuals is derived by studying the zero elements of their concentration matrix. In particular the new condition is expressed in terms of the complementary graph of the residuals. This graphical condition can be simply checked by means of an efficient algorithm. An example is also given showing that sometimes the single-factor model with correlated residuals can be sued to overcome the problem of non-identification of a larger factor model.
Vicard, P. (2000). On the identification of a single-factor model with correlated residuals. BIOMETRIKA, 87, 199-205 [10.1093/biomet/87.1.199].
On the identification of a single-factor model with correlated residuals
VICARD, Paola
2000-01-01
Abstract
A necessary and sufficient condition for the identification of a single-factor model with correlated residuals is derived by studying the zero elements of their concentration matrix. In particular the new condition is expressed in terms of the complementary graph of the residuals. This graphical condition can be simply checked by means of an efficient algorithm. An example is also given showing that sometimes the single-factor model with correlated residuals can be sued to overcome the problem of non-identification of a larger factor model.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
