Papers on Bayesian factor analysis?

I am interested in fitting a factor analysis-like model on asset returns or other similar latent variable models. What are good papers to read on this topic? I am particularly interested in how to handle the fact that a factor analysis model is identical under a sign change for the “factor loadings”.


Some references to help you out.

  1. Tipping, M. E. & Bishop, C. M.
    Probabilistic principal component
    analysis Journal of the Royal
    Statistical Society (Series B),
    1999, 21, 611-622
  2. Tom Minka. Automatic choice of
    dimensionality for PCA. NIPS 2000

  3. Šmídl, V. & Quinn, A. On Bayesian
    principal component analysis
    Computational Statistics & Data
    Analysis, 2007, 51, 4101-4123

If you are familiar with information theoretic model selection (MML, MDL, etc.), I highly recommend checking out:

  1. Wallace, C. S. & Freeman, P. R.
    Single-Factor Analysis by Minimum
    Message Length Estimation Journal of
    the Royal Statistical Society
    (Series B), 1992, 54, 195-209
  2. C. S. Wallace. Multiple Factor
    Analysis by MML Estimation.
    Tech report:

Source : Link , Question Author : John Salvatier , Answer Author : emakalic

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