Varimax

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Contents

Purpose

Orthogonal rotation of loadings.

Synopsis

vloads = varimax(loads,options);

Description

Input loads is a N by K matrix with orthogonal columns and the output vloads is a N by K matrix with orthogonal columns rotated to maximize the "raw varimax criterion". Optional input options is discussed below.

Algorithm

Under varimax the total simplicity S is maximized where: S=\sum_{k=1}^{K}{S_k} and the simplicty for each factor (column) is S_k = \overline {(a_k-\bar{a}_k)^2} where the overbar indicates the mean and a_k is the kth column of vloads.

The algorithm is based on Kaiser's VARIMAX Method (J.R. Magnus and H. Neudecker, Matrix Differential Calculus with Applications in Statistics and Econometrics, Revised Ed., pp 373-376, 1999). They note that if the algorithm converges, "which is not guaranteed, then a (local) maximum ... has been found."

See Also

analysis, pca

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