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Multivariate analysis

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Multivariate analysis (MVA) is based on the statistical principle of multivariate statistics, which involves observation and analysis of more than one statistical variable at a time. In design and analysis, the technique is used to perform trade studies across multiple dimensions while taking into account the effects of all variables on the responses of interest.

Uses for multivariate analysis include:

  • Design for capability (also known as capability-based design)
  • Inverse design, where any variable can be treated as an independent variable
  • Analysis of alternatives, the selection of concepts to fulfill a customer need
  • Analysis of concepts with respect to changing scenarios
  • Identification of critical design drivers and correlations across hierarchical levels

Multivariate analysis can be complicated by the desire to include physics-based analysis to calculate the effects of variables for a hierarchical "system-of-systems." Often, studies that wish to use multivariate analysis are stalled by the dimensionality of the problem. These concerns are often eased through the use of surrogate models, highly accurate approximations of the physics-based code. Since surrogate models take the form of an equation, they can be evaluated very quickly. This becomes an enabler for large-scale MVA studies: while a Monte Carlo simulation across the design space is difficult with physics-based codes, it becomes trivial when evaluating surrogate models, which often take the form of response surface equations.

Factor Analysis: A Brief Edit

Overview: Factor analysis is used to uncover the latent structure (dimensions) of a set of variables. It reduces attribute space from a larger number of variables to a smaller number of factors. Factor analysis originated a century ago with Charles Spearman's attempts to show that a wide variety of mental tests could be explained by a single underlying intelligence factor (a notion now rejected, by the way).

Applications: • To reduce a large number of variables to a smaller number of factors for data modeling • To validate a scale or index by demonstrating that its constituent items load on the same factor, and to drop proposed scale items which cross-load on more than one factor. • To select a subset of variables from a larger set, based on which original variables have the highest correlations with the principal component factors. • To create a set of factors to be treated as uncorrelated variables as one approach to handling multi-collinearity in such procedures as multiple regression

Factor analysis is part of the general linear model (GLM) family of procedures and makes many of the same assumptions as multiple regression

Type of Factor Analysis Exploratory factor analysis (EFA) is used to uncover the underlying structure of a relatively large set of variables. The researcher's à priori assumption is that any indicator may be associated with any factor. This is the most common form of factor analysis. There is no prior theory and one uses factor loadings to intuit the factor structure of the data.

Confirmatory factor analysis (CFA) seeks to determine if the number of factors and the loadings of measured (indicator) variables on them conform to what is expected on the basis of pre-established theory. Indicator variables are selected on the basis of prior theory and factor analysis is used to see if they load as predicted on the expected number of factors. The researcher's à priori assumption is that each factor (the number and labels of which may be specified à priori) is associated with a specified subset of indicator variables. A minimum requirement of confirmatory factor analysis is that one hypothesizes beforehand the number of factors in the model, but usually also the researcher will posit expectations about which variables will load on which factors. The researcher seeks to determine, for instance, if measures created to represent a latent variable really belong together.

Types of Factoring Principal components analysis (PCA): The most common form of factor analysis, PCA seeks a linear combination of variables such that the maximum variance is extracted from the variables. It then removes this variance and seeks a second linear combination which explains the maximum proportion of the remaining variance, and so on. This is called the principal axis method and results in orthogonal (uncorrelated) factors.

Canonical factor analysis , also called Rao's canonical factoring, is a different method of computing the same model as PCA, which uses the principal axis method. CFA seeks factors which have the highest canonical correlation with the observed variables. CFA is unaffected by arbitrary rescaling of the data.

Common factor analysis, also called principal factor analysis (PFA) or principal axis factoring (PAF), seeks the least number of factors which can account for the common variance (correlation) of a set of variables.

Image factoring: based on the correlation matrix of predicted variables rather than actual variables, where each variable is predicted from the others using multiple regression. Alpha factoring: based on maximizing the reliability of factors, assuming variables are randomly sampled from a universe of variables. All other methods assume cases to be sampled and variables fixed.

Terms Factor loadings: The factor loadings, also called component loadings in PCA, are the correlation coefficients between the variables (rows) and factors (columns). Analogous to Pearson's r, the squared factor loading is the percent of variance in that indicator variable explained by the factor. To get the percent of variance in all the variables accounted for by each factor, add the sum of the squared factor loadings for that factor (column) and divide by the number of variables. (Note the number of variables equals the sum of their variances as the variance of a standardized variable is 1.) This is the same as dividing the factor's eigenvalue by the number of variables.

Interpreting factor loadings: By one rule of thumb in confirmatory factor analysis, loadings should be .7 or higher to confirm that independent variables identified a priori are represented by a particular factor, on the rationale that the .7 level corresponds to about half of the variance in the indicator being explained by the factor. However, the .7 standard is a high one and real-life data may well not meet this criterion, which is why some researchers, particularly for exploratory purposes, will use a lower level such as .4 for the central factor and .25 for other factors call loadings above .6 "high" and those below .4 "low". In any event, factor loadings must be interpreted in the light of theory, not by arbitrary cutoff levels.

In oblique rotation, one gets both a pattern matrix and a structure matrix. The structure matrix is simply the factor loading matrix as in orthogonal rotation, representing the variance in a measured variable explained by a factor on both a unique and common contributions basis. The pattern matrix, in contrast, contains coefficients which just represent unique contributions. The more factors, the lower the pattern coefficients as a rule since there will be more common contributions to variance explained. For oblique rotation, the researcher looks at both the structure and pattern coefficients when attributing a label to a factor.

Communality (h2): The sum of the squared factor loadings for all factors for a given variable (row) is the variance in that variable accounted for by all the factors, and this is called the communality. The communality measures the percent of variance in a given variable explained by all the factors jointly and may be interpreted as the reliability of the indicator. Spurious solutions: If the communality exceeds 1.0, there is a spurious solution, which may reflect too small a sample or the researcher has too many or too few factors.

Uniqueness of a variable: 1-h2. That is, uniqueness is the variability of a variable minus its communality.

Eigenvalues:/Characteristic roots: The eigenvalue for a given factor measures the variance in all the variables which is accounted for by that factor. The ratio of eigenvalues is the ratio of explanatory importance of the factors with respect to the variables. If a factor has a low eigenvalue, then it is contributing little to the explanation of variances in the variables and may be ignored as redundant with more important factors. Eigenvalues measure the amount of variation in the total sample accounted for by each factor.

Extraction sums of squared loadings: Initial eigenvalues and eigenvalues after extraction (listed by SPSS as "Extraction Sums of Squared Loadings") are the same for PCA extraction, but for other extraction methods, eigenvalues after extraction will be lower than their initial counterparts. SPSS also prints "Rotation Sums of Squared Loadings" and even for PCA, these eigenvalues will differ from initial and extraction eigenvalues, though their total will be the same.

Factor scores: Also called component scores in PCA, factor scores are the scores of each case (row) on each factor (column). To compute the factor score for a given case for a given factor, one takes the case's standardized score on each variable, multiplies by the corresponding factor loading of the variable for the given factor, and sums these products. Computing factor scores allows one to look for factor outliers. Also, factor scores may be used as variables in subsequent modeling.

Criteria for determining the number of factors

Comprehensibility: Though not a strictly mathematical criterion, there is much to be said for limiting the number of factors to those whose dimension of meaning is readily comprehensible. Often this is the first two or three. Using one or more of the methods below, the researcher determines an appropriate range of solutions to investigate. For instance, the Kaiser criterion may suggest three factors and the scree test may suggest 5, so the researcher may request 3-, 4-, and 5-factor solutions and select the solution which generates the most comprehensible factor structure.

Kaiser criterion: The Kaiser rule is to drop all components with eigenvalues under 1.0. The Kaiser criterion is the default in SPSS and most computer programs but is not recommended when used as the sole cut-off criterion for estimated the number of factors.

Scree plot: The Cattell scree test plots the components as the X axis and the corresponding eigenvalues as the Y axis. As one moves to the right, toward later components, the eigenvalues drop. When the drop ceases and the curve makes an elbow toward less steep decline, Cattell's scree test says to drop all further components after the one starting the elbow. This rule is sometimes criticised for being amenable to researcher-controlled "fudging." That is, as picking the "elbow" can be subjective because the curve has multiple elbows or is a smooth curve, the researcher may be tempted to set the cut-off at the number of factors desired by his or her research agenda.

Variance explained criteria: Some researchers simply use the rule of keeping enough factors to account for 90%; (sometimes 80%) of the variation. Where the researcher's goal emphasizes parsimony (explaining variance with as few factors as possible), the criterion could be as low as 50%

Before dropping a factor below one's cut-off, however, the researcher should check its correlation with the dependent variable. A very small factor can have a large correlation with the dependent variable, in which case it should not be dropped.

Rotation methods: Rotation serves to make the output more understandable and is usually necessary to facilitate the interpretation of factors.

Varimax rotation is an orthogonal rotation of the factor axes to maximize the variance of the squared loadings of a factor (column) on all the variables (rows) in a factor matrix, which has the effect of differentiating the original variables by extracted factor. Each factor will tend to have either large or small loadings of any particular variable. A varimax solution yields results which make it as easy as possible to identify each variable with a single factor. This is the most common rotation option. Quartimax rotation is an orthogonal alternative which minimizes the number of factors needed to explain each variable. This type of rotation often generates a general factor on which most variables are loaded to a high or medium degree. Such a factor structure is usually not helpful to the research purpose.

Equimax rotation is a compromise between Varimax and Quartimax criteria.

Direct oblimin rotation is the standard method when one wishes a non-orthogonal (oblique) solution -- that is, one in which the factors are allowed to be correlated. This will result in higher eigenvalues but diminished interpretability of the factors. See below.

Promax rotation is an alternative non-orthogonal (oblique) rotation method which is computationally faster than the direct oblimin method and therefore is sometimes used for very large datasets.

See alsoEdit


  • KV Mardia, JT Kent, and JM Bibby (1979). Multivariate Analysis. Academic Press,.
  • Welch, HG Schwartz, LM and Woloshin, S (2005).The exaggerated relations between diet, body weight and mortality: the case for a categorical data approach CMAJ,172 (7). doi:10.1503/cmaj.1041310.Full text
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