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xp = p1 f1 + + pk fk + up
o de modo ms conciso
x = f + u.
donde
11 1k
= ... . . . ... , f =
p1 pk
f1
.. , u =
.
fk
u1
.. .
.
up
Los ij son los pesos factoriales que muestran como cada xi depende de factores comunes
y se usan para interpretar los factores. Por ejemplo, valores altos relacionan un factor con
la correspondiente variable observada y as se puede caracterizar cada factor.
Se asume que los trminos residuales u1 , . . . , up estn incorrelados entre s y con los
factores f1 , . . . , fk . Cada variable ui es particular para cada xi y se denomina variable
especfica.
Dado que los factores no son observables, se puede fijar arbitrariamente su media en 0
y su varianza en 1, esto es, se consideran variables estandarizadas que estn incorreladas
entre s, de modo que los pesos factoriales resultan ser las correlaciones entre las variables
y los factores.
As, con las suposiciones previas, la varianza de la variable xi es
2i
k
X
2ij + i
j=1
donde i es la varianza de ui .
De este modo, la varianza de cada variable observada se puede descomponer en dos
partes. La primera h2i , denominada comunalidad, es
h2i
k
X
j=1
2ij
y representa la varianza compartida con las otras variables por medio de los factores
comunes. La segunda parte, i , se denomina varianza especfica y recoge la variabilidad
no compartida con las otras variables.
La definicin del modelo implica que la covarianza entre las variables xi y xj es
ij =
k
X
il lj .
l=1
Las covarianzas no dependen en absoluto de las variables especficas, de hecho, basta con
los factores comunes. De este modo, la matriz de covarianzas de las variables observadas
es
= 0 +
donde es una matriz diagonal cuyos componentes son las varianzas especficas: =
diag( i ).
Lo contrario tambin se verifica: dada la descomposicin de la varianza anterior, se
puede encontrar un modelo factorial para las variables originales, x, con k factores.
En la prctica se tienen que estimar los parmetros del modelo a partir de una muestra,
y
tales que la matriz de
de modo que el problema se centra en encontrar los valores
covarianzas muestral S es aproximadamente
0 +
S
Se tienen dos mtodos de estimacin de los trminos anteriores: el mtodo de los
factores principales y el mtodo de mxima verosimilitud.
Mtodo de los factores principales
Es una tcnica basada en autovalores y autovectores pero en lugar de operar sobre la
matriz de covarianzas se opera sobre la llamada matriz de covarianzas reducida,
S = S
es una matriz diagonal que contiene las estimas de i .
donde
3
Los elementos diagonales de S contiene las comunalidades estimadas (las partes de las
varianzas de cada variable explicada por los factores comunes). Al contrario que el anlisis
de componentes principales, el anlisis factorial no pretende recoger toda la varianza
observada de los datos, sino la que comparten los factores comunes. De hecho, el anlisis
factorial se centra ms en recoger las covarianzas o correlaciones que aparecen entre las
variables originales.
El procedimiento es iterativo: se parte de unas comunalidades estimadas a partir de las
correlaciones entre las variables observadas y luego se efectua un anlisis de componentes
principales sobre la matriz S .
Mtodo de la mxima verosimilitud
Este mtodo es el habitualmente preferido por los estadsticos. Asumiendo normalidad
en los datos se define una distancia F , entre la matriz de covarianzas observada y los
valores predichos de esta matriz por el modelo del anlisis factorial. La expresin de dicha
distancia es
1
0
ln |S| p
F = ln | + | + traza S | + |
0
Las estimaciones de los pesos factoriales se obtienen minimizando esta funcin, y esto
es equivalente a maximizar la funcin de verosimilitud del modelo k factorial asumiendo
normalidad.
Ejemplos
Ejemplo 1
Se considera una muestra de los aos de vida esperados por pas, edad y sexo procedentes de Keyfitz y Flieger (1971).
Algeria
Cameroon
Madagascar
Mauritius
Reunion
Seychelles
South Africa(C)
South Africa(W)
Tunisia
Canada
Costa Rica
Dominican Rep
El Salvador
Greenland
Grenada
Guatemala
Honduras
Jamaica
Mexico
Nicaragua
Panama
Trinidad(62)
Trinidad (67)
United States (66)
United States (NW66)
United States (W66)
United States (67)
Argentina
Chile
Columbia
Ecuador
m0
63.00
34.00
38.00
59.00
56.00
62.00
50.00
65.00
56.00
69.00
65.00
64.00
56.00
60.00
61.00
49.00
59.00
63.00
59.00
65.00
65.00
64.00
64.00
67.00
61.00
68.00
67.00
65.00
59.00
58.00
57.00
m25
51.00
29.00
30.00
42.00
38.00
44.00
39.00
44.00
46.00
47.00
48.00
50.00
44.00
44.00
45.00
40.00
42.00
44.00
44.00
48.00
48.00
63.00
43.00
45.00
40.00
46.00
45.00
46.00
43.00
44.00
46.00
m50
30.00
13.00
17.00
20.00
18.00
24.00
20.00
22.00
24.00
24.00
26.00
28.00
25.00
22.00
22.00
22.00
22.00
23.00
24.00
28.00
26.00
21.00
21.00
23.00
21.00
23.00
23.00
24.00
23.00
24.00
28.00
m75
13.00
5.00
7.00
6.00
7.00
7.00
7.00
7.00
11.00
8.00
9.00
11.00
10.00
6.00
8.00
9.00
6.00
8.00
8.00
14.00
9.00
7.00
6.00
8.00
10.00
8.00
8.00
9.00
10.00
9.00
9.00
w0
67.00
38.00
38.00
64.00
62.00
69.00
55.00
72.00
63.00
75.00
68.00
66.00
61.00
65.00
65.00
51.00
61.00
67.00
63.00
68.00
67.00
68.00
68.00
74.00
67.00
75.00
74.00
71.00
66.00
62.00
60.00
w25
54.00
32.00
34.00
46.00
46.00
50.00
43.00
50.00
54.00
53.00
50.00
51.00
48.00
45.00
49.00
41.00
43.00
48.00
46.00
51.00
49.00
47.00
47.00
51.00
46.00
52.00
51.00
51.00
49.00
47.00
49.00
w50
34.00
17.00
20.00
25.00
25.00
28.00
23.00
27.00
33.00
29.00
27.00
29.00
27.00
25.00
27.00
23.00
22.00
26.00
25.00
29.00
27.00
25.00
24.00
28.00
25.00
29.00
28.00
28.00
27.00
25.00
28.00
w75
15.00
6.00
7.00
8.00
10.00
14.00
8.00
9.00
19.00
10.00
10.00
11.00
12.00
9.00
10.00
8.00
7.00
9.00
8.00
13.00
10.00
9.00
8.00
10.00
11.00
10.00
10.00
10.00
12.00
10.00
11.00
Se usa un anlisis factorial por mxima verosimilitud. Primero se prueban tres soluciones con 1, 2 o 3 factores, observndose que la solucin con tres factores es la adecuada,
al observar el test con la hiptesis nula de que con tres factores es suficiente.
Se obtiene la solucin rotada (varimax por defecto) y se observa:
(i ) primer factor: est muy relacionado con la esperanza de vida en el nacimiento para
mujeres y hombres;
7
Estadsticos descriptivos
Media Desviacin tpica N del anlisis
59,613
7,9191
31
m25 44,129
5,9033
31
m50 22,935
3,4052
31
8,387
2,0278
31
64,194
8,8220
31
w25 47,516
4,9858
31
w50 26,290
3,3386
31
w75 10,129
2,5787
31
m0
m75
w0
10
Matriz de correlaciones(a)
m0
m25
m50
m75
w0
w25
w50
w75
1,000
,748
,636
,290
,980
,874
,697
,318
m25
,748 1,000
,667
,391
,693
,725
,647
,393
m50
,636
,667 1,000
,752
,557
,772
,802
,593
m75
,290
,391
,752 1,000
,247
,547
,687
,710
w0
,980
,693
,557
,247 1,000
,887
,710
,365
w25
,874
,725
,772
,547
,887 1,000
,940
,684
w50
,697
,647
,802
,687
,710
,940 1,000
,828
w75
,318
,393
,593
,710
,365
,684
,828 1,000
,000
,000
,057
,000
,000
,000
,041
,000
,015
,000
,000
,000
,014
,000
,001
,000
,000
,000
,090
,001
,000
,000
,000
,000
,022
,000
,000
m0
Correlacin
m0
Sig. (Unilateral)
m25
,000
m50
,000
,000
m75
,057
,015
,000
w0
,000
,000
,001
,090
w25
,000
,000
,000
,001
,000
w50
,000
,000
,000
,000
,000
,000
w75
,041
,014
,000
,000
,022
,000
,000
,000
a Determinante = 7,91E-007
KMO y prueba de Bartlett
Medida de adecuacin muestral de Kaiser-Meyer-Olkin.
,794
28
,000
Sig.
Comunalidades(a)
Mtodo de extraccin: Mxima verosimilitud.
Matriz factorial(a)
a 3 factores extrados. Requeridas 7 iteraciones.
Prueba de la bondad de ajuste
Chi-cuadrado
6,275
gl
7
Sig.
,508
11
Correlaciones reproducidas
m0
m75
w0
w25
w50
w75
,748
,636
,290
,980
,874
,696
,318
m25
,748
,649(b)
,684
,431
,697
,723
,647
,369
M50
,636
,684
,905(b)
,725
,557
,769
,807
,600
M75
,290
,431
,725
,707(b)
,244
,556
,690
,653
W0
,980
,697
,557
,244
,996(b)
,887
,711
,363
W25
,874
,723
,769
,556
,887
,989(b)
,939
,688
W50
,696
,647
,807
,690
,711
,939 ,980(b)
,827
W75
,318
,369
,600
,653
,363
,688
,001
,000 -7,91E-5
1,04E-5
-7,65E-5
,000
,000
-,040
-,004
,002
,000
,024
,027
,000
,003
-,004
-,006
,003
-,009
-,003
,058
,000
-,001
,002
,001
-,004
M0
Residual(a)
m50
,999(b)
m0
Correlacin
reproducida
m25
m25
,001
-,017
m50
,000
-,017
m75
-7,91E-5
-,040
,027
w0
1,04E-5
-,004
,000
,003
w25
-7,65E-5
,002
,003
-,009
,000
w50
,000
,000
-,004
-,003
-,001
,001
w75
,000
,024
-,006
,058
,002
-,004
,827 ,852(b)
,001
,001
12
m0
,964
,120
,233
m25
,645
,168
,453
m50
,428
,376
,762
m75
,078
,537
,642
w0
,970
,220
,078
w25
,763
,561
,303
w50
,535
,732
,397
w75
,156
,869
,271
% de la varianza
% acumulado
3,369
42,107
42,107
2,127
26,589
68,696
1,580
19,751
88,447
,956
,187
,225
-,258
,902
,347
-,138
-,390
,910
13
14
SS loadings
Proportion Var
Factor1
5.329
0.666
Factor2
0.179
0.329
0.651
0.760
0.194
0.603
0.815
0.888
SS loadings
Proportion Var
Cumulative Var
Factor1 Factor2
3.567
2.994
0.446
0.374
0.446
0.820
Factor2
0.122
0.169
0.354
0.525
0.217
0.556
0.729
0.867
SS loadings
Proportion Var
Cumulative Var
Factor3
0.226
0.438
0.790
0.656
0.310
0.401
0.280
15
Algeria
Cameroon
Madagascar
Mauritius
Reunion
Seychelles
South Africa(C)
South Africa(W)
Tunisia
Canada
Costa Rica
Dominican Rep
El Salvador
Greenland
Grenada
Guatemala
Honduras
Jamaica
Mexico
Nicaragua
Panama
Trinidad(62)
Trinidad (67)
United States (66)
United States (NW66)
United States (W66)
United States (67)
Argentina
Chile
Columbia
Ecuador
Factor1
-0.258062561
-2.782495791
-2.806428187
0.141004934
-0.196352142
0.367371307
-1.028567629
0.946193522
-0.862493550
1.245304248
0.508736247
0.106044085
-0.608155779
0.235114220
0.132008172
-1.450336359
0.043253249
0.462124701
-0.052332675
0.268974443
0.442333434
0.711367053
0.787286051
1.128331259
0.400058903
1.214345385
1.128331259
0.731344988
0.009751528
-0.240602517
-0.723451797
Factor2
1.90095771
-0.72340014
-0.81158820
-0.29028454
0.47429917
0.82902375
-0.08065792
0.06400408
3.59177195
0.29564122
-0.50500435
0.01111171
0.65100820
-0.69123901
0.25241049
-0.67765804
-1.85175707
-0.51918493
-0.72020002
0.08407227
-0.73778272
-0.95989475
-1.10729029
0.16389896
-0.36230253
0.40877239
0.16389896
0.24811968
0.75222637
-0.29543613
0.44246371
Factor3
1.91581631
-1.84772224
-0.01210318
-0.85862443
-1.55046466
-0.55214085
-0.65421971
-0.91995289
-0.36442148
-0.27342781
1.01328707
1.83871599
0.48836431
-0.38558654
-0.15220645
0.65911906
0.30633182
0.08032855
0.44417800
1.70568388
1.25218728
-0.21545329
-0.51958264
-0.68177046
-0.74299137
-0.69225320
-0.68177046
-0.12817725
-0.49198911
0.42919600
1.59164974
library(scatterplot3d)
scatterplot3d(scores, angle=35, col.grid="lightblue", main="Grafica de las
puntuaciones", pch=20)
pairs(scores)
16
par(pty="s")
plot(scores[,1],scores[,2],
ylim=range(scores[,1]),
xlab="Factor 1",ylab="Factor 2",type="n",lwd=2)
text(scores[,1],scores[,2],
labels=abbreviate(row.names(life),minlength=8),cex=0.6,lwd=2)
par(pty="s")
plot(scores[,1],scores[,3],
ylim=range(scores[,1]),
xlab="Factor 1",ylab="Factor 3",type="n",lwd=2)
text(scores[,1],scores[,3],
labels=abbreviate(row.names(life),minlength=8),cex=0.6,lwd=2)
par(pty="s")
plot(scores[,2],scores[,3],
ylim=range(scores[,2]),
xlab="Factor 2",ylab="Factor 3",type="n",lwd=2)
text(scores[,2],scores[,3],
labels=abbreviate(row.names(life),minlength=8),cex=0.6,lwd=2)
17
18
19
cigar beer
wine
1.000
0.447
0.422
0.435
0.114
0.203
0.091
0.082
0.513
0.304
0.245
0.101
0.245
0.422
0.619
1.000
0.583
0.053
0.139
0.110
0.066
0.365
0.240
0.183
0.074
0.184
cigarettes
beer
wine
liquor
cocaine
tranquillizers
medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
0.447
1.000
0.619
0.604
0.068
0.146
0.103
0.063
0.445
0.318
0.203
0.088
0.199
inhal
0.245
0.203
0.183
0.255
0.272
0.323
0.310
0.288
0.301
0.302
1.000
0.304
0.392
liquor
0.435
0.604
0.583
1.000
0.115
0.258
0.122
0.097
0.482
0.368
0.255
0.139
0.293
coca
tranq
medin
heroin marija
0.114
0.068
0.053
0.115
1.000
0.349
0.209
0.321
0.186
0.303
0.272
0.279
0.278
0.203
0.146
0.139
0.258
0.349
1.000
0.221
0.355
0.315
0.377
0.323
0.367
0.545
0.091
0.103
0.110
0.122
0.209
0.221
1.000
0.201
0.150
0.163
0.310
0.232
0.232
0.082
0.063
0.066
0.097
0.321
0.355
0.201
1.000
0.154
0.219
0.288
0.320
0.314
haluuci
0.101
0.088
0.074
0.139
0.279
0.367
0.232
0.320
0.204
0.368
0.340
1.000
0.511
0.513
0.445
0.365
0.482
0.186
0.315
0.150
0.154
1.000
0.534
0.301
0.204
0.394
0.304
0.318
0.240
0.368
0.303
0.377
0.163
0.219
0.534
1.000
0.302
0.368
0.467
ampheta
0.245
0.199
0.184
0.293
0.278
0.545
0.232
0.314
0.394
0.467
0.392
0.511
1.000
beer
0.368
cocaine
0.681
heroin
0.664
inhalants
0.595
wine
0.374
tranquillizers
0.525
marijuana
0.322
haluucinogenics
0.633
Loadings:
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
20
haluucinogenics
amphetamine
SS loadings
Proportion Var
Cumulative Var
0.151
0.401
0.341
0.344
0.888
0.186
0.141
0.139
0.231
0.166
The degrees of freedom for the model is 15 and the fit was 0.0148
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
cigarettes
0.000
-0.001
0.015
-0.018
0.010
0.000
-0.020
-0.005
0.002
0.000
0.013
-0.003
0.000
beer
-0.001
0.000
-0.002
0.004
0.004
-0.011
-0.001
0.007
0.002
0.000
-0.004
0.006
0.000
wine
0.015
-0.002
0.000
-0.001
-0.001
-0.005
0.007
0.008
-0.004
0.000
-0.008
-0.001
0.000
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
haluucinogenics amphetamine
-0.003
0
0.006
0
-0.001
0
-0.005
0
-0.007
0
-0.010
0
0.005
0
0.022
0
0.003
0
0.000
0
0.027
0
0.000
0
0.000
0
21
cigarettes
0.000
-0.001
0.009
-0.013
0.011
0.010
-0.011
-0.004
0.002
-0.026
0.039
-0.016
0.002
beer
-0.001
0.000
-0.001
0.002
0.002
-0.014
0.000
0.005
-0.001
0.019
-0.003
0.010
-0.007
wine
0.009
-0.001
0.000
0.000
-0.002
-0.004
0.012
0.013
0.001
-0.017
-0.007
0.004
0.002
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
haluucinogenics amphetamine
-0.016
0.002
0.010
-0.007
0.004
0.002
-0.015
0.005
-0.026
-0.077
-0.056
0.040
0.003
-0.038
-0.002
-0.050
-0.003
-0.002
0.037
0.009
0.019
-0.009
0.000
0.045
0.045
0.000
22
cigarettes
0.000
-0.001
0.009
-0.012
0.010
0.008
-0.014
-0.007
0.001
-0.023
0.037
-0.019
0.000
beer
-0.001
0.000
-0.001
0.001
0.001
-0.016
-0.002
0.003
-0.001
0.018
-0.005
0.007
0.000
wine
0.009
-0.001
0.000
0.000
-0.001
-0.005
0.012
0.014
0.001
-0.020
-0.008
0.002
0.000
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
cigarettes
beer
wine
liquor
cocaine
tranquillizers
drug store medication
heroin
marijuana
hashish
inhalants
haluucinogenics
amphetamine
haluucinogenics amphetamine
-0.019
0
0.007
0
0.002
0
-0.009
0
-0.023
0
-0.023
0
0.013
0
0.010
0
-0.002
0
0.059
0
0.032
0
0.000
0
0.000
0
23
1
2
3
4
5
6
7
8
Average = 1
Eigenvalue
Difference
Proportion
Cumulative
5.60241029
1.35818155
0.49932700
0.30812590
0.15468962
0.05863378
0.01282163
0.00581023
4.24422874
0.85885454
0.19120110
0.15343627
0.09605584
0.04581216
0.00701139
0.7003
0.1698
0.0624
0.0385
0.0193
0.0073
0.0016
0.0007
0.7003
0.8701
0.9325
0.9710
0.9903
0.9977
0.9993
1.0000
Factor Pattern
m0
m25
m50
m75
w0
w25
w50
w75
Factor1
Factor2
Factor3
0.84572
0.79338
0.86398
0.67493
0.83139
0.97181
0.94762
0.72258
-0.50388
-0.26526
0.20688
0.63213
-0.50529
-0.11019
0.17659
0.54119
-0.00222
0.35122
0.33902
0.22620
-0.16243
-0.16718
-0.18122
-0.35028
24
Factor2
Factor3
5.6024103
1.3581815
0.4993270
m25
0.82316394
m50
0.90419710
m75
0.90628012
w0
0.97292213
w25
0.98450040
w50
0.96201103
w75
0.93770753
1
2
3
1
0.71166
-0.69599
-0.09562
2
0.53803
0.62747
-0.56286
3
0.45174
0.34912
0.82100
m0
m25
m50
m75
w0
w25
w50
w75
Factor1
Factor2
Factor3
0.95277
0.71565
0.43846
0.01873
0.95888
0.78427
0.56880
0.17106
0.14010
0.06273
0.40383
0.63245
0.22168
0.54781
0.72265
0.92551
0.20431
0.55414
0.74086
0.71129
0.06581
0.26329
0.34095
0.22778
Factor2
2.3146695
Factor3
1.6454052
m25
0.82316394
m50
0.90419710
m75
0.90628012
w0
0.97292213
w25
0.98450040
w50
0.96201103
w75
0.93770753
25