Hayashi, Kentaro; Kumar Sen, Pranab - In: Journal of Multivariate Analysis 66 (1998) 1, pp. 38-45
We report a matrix expression for the covariance matrix of MLEs of factor loadings in factor analysis. We then derive the analytical formula for covariance matrix of the covariance estimators of MLEs of factor loadings by obtaining the matrix of partial derivatives, which maps the differential...