Orthogonal rotation of loadings.
- vloads = varimax(loads,options);
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.
Under varimax the total simplicity S is maximized where: and the simplicty for each factor (column) is where the overbar indicates the mean and 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."