On the truncation criteria in infinite factor models
in: Stat, 2020.
Citation: Schiavon, L., Canale, A. (2020) On the truncation criteria in infinite factor models, in Stat, 9(1), e298. doi: https://doi.org/10.1002/sta4.298.
Abstract: The number of latent factors, in factor analysis, is typically unknown and motivated by a rich literature on priors distributions, which progressively penalize the number of factors in infinite factor models. Adaptive Gibbs samplers that truncate the infinite factor models are typically used for posterior inference. In this paper, we introduce a novel strategy to adaptively truncate the number of factors that is more interpretable, stable and consistent, with respect to standard approaches.