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Vintage factor analysis with varimax performs statistical inference

Tuesday, March 30, 2021 - 4:30pm

Speaker:   Karl Rohe, University of Wisconsin-Madison

Abstract:   Psychologists developed Multiple Factor Analysis to decompose multivariate data into a small number of interpretable factors without any a priori knowledge about those factors. In this form of factor analysis, the Varimax "factor rotation" is a key step to make the factors interpretable. Charles Spearman and many others objected to factor rotations because the factors seem to be rotationally invariant. This is an historical engima because factor rotations have survived and are widely popular because, empirically, they often make factors easier to interpret. We argue that the rotation makes the factors easier to interpret because, in fact, the Varimax factor rotation performs statistical inference. We show that Principal Components Analysis (PCA) with the Varimax rotation provides a unified spectral estimation strategy for a broad class of modern factor models, including the Stochastic Blockmodel and a natural variation of Latent Dirichlet Allocation (i.e., "topic modeling"). In addition, we show that Thurstone's widely employed sparsity diagnostics implicitly assess a key "leptokurtic" condition that makes the rotation statistically identifiable in these models. Taken together, this shows that the know-how of Vintage Factor Analysis performs statistical inference, reversing nearly a century of statistical thinking on the topic. With a sparse eigensolver, PCA with Varimax is both fast and stable. Combined with Thurstone's straightforward diagnostics, this vintage approach is suitable for a wide array of modern applications.