Elsewhere we have shown how calculate the loading factors *L*, but we still need to find the values of the factors, namely *Y*, which correspond to values of the explicit variables *X*.

We show three methods of calculating the factor scores.

**Regression Method**

If we look to Definition 1 of Basic Concepts of Factor Analysis, we recall that the factor analysis model is based on the equations:

Using the sample instead of the population we have

We find the values of the factors using the method of least square employed in multiple regression (see Least Square Method of Multiple Regression). In particular, our goal is to find the value of *Y* which minimizes ||*E*|| based on the values in the sample for the explicit variables *X*.

The least square solution (Property 1 of Least Square Method of Multiple Regression) is

Note that since this regression doesn’t have a constant term, we don’t need to add a columns of 1’s to *L* as we did in Property 1 of Least Square Method of Multiple Regression. Now *L*^{T}*L = D* where *D* is a diagonal matrix whose main diagonal consists of the eigenvalues of *S*. Thus (*L*^{T}*L*)^{-1} is the diagonal matrix whose main diagonal consists of 1/*λ*_{1}, ⋯, 1/*λ _{k}*.

We define the factor score matrix to be the *m × k* matrix* F* = (*L*^{T}*L*)^{-1}*L* = [*f _{ij}*] where

and where *C*_{1}, …, *C _{m}* are the orthonormal eigenvectors corresponding to the eigenvalues

*λ*

_{1}, …,

*λ*.

_{m}Recall that *L* = [*b _{ij}*] is the

*k × m*matrix such that

*b*= . Since · = , if follows that the factor scores for the sample

_{ij}*X*satisfy

For example, the factor score matrix and factor scores for the first sample (see Figure 1 or 6 of Principal Component Analysis) for Example 1 of Factor Extraction is shown in Figure 1.

**Figure 1 – Factor score matrix using least squares method**

Here the factor score matrix (range BV6:BY14) is calculated by the formula =B19:E27/SQRT(B18:E18) (referring to cells in Figure 2 of Factor Extraction), the sample scores *X* (range CA6:C14) is as in Figure 1 or 6 of Principal Component Analysis, *X*′ (CC6:CC14) consists of the values in *X* less the means of each of the variables and is calculated by the formula =CA6:CA14-TRANSPOSE(B128:J128) (referring to Figure 2 of Principal Component Analysis). Finally, the factor scores *Y* corresponding to the scores in *X* (range CE6:CE9) is calculated by the formula

=MMULT(TRANSPOSE(BV6:BY14),CC6:CC14)

Actually since we reversed the sign of the loadings for factor 1, we need to reverse the sign for the factor scores for factor 1 (i.e. column BV). This results in a change of sign for factor 1 (i.e. CE6). The result is shown in Figure 2.

**Figure 2 – Revised factor score matrix**

In a similar fashion we can calculate the factor scores for the entire sample (see Figure 2 of Principal Component Analysis). The result for the first 10 sample items is shown in Figure 3. Note that we are now showing the *X* as row vectors (instead of column vectors as was employed in Figure 2), and so the factor scores are calculated by

**Figure 3 – Factor scores of the sample using least squares**

Here the factor scores for the entire sample is given in range CH19:CK38, and are calculated by the formula =MMULT(B4:J123-B126:J126,BV19:BY27), referring to cells in Figure 1 of Principal Component Analysis and Figure 2.

**Bartlett’s Method**

Bartlett’s method of creating factor scores is similar to the least squares method except that now the reciprocals of the specific variances are used as weighting factors. This gives more weight to variances with high community (and therefore low specific variance).

As before, we seek a *Y* such that

But this time instead of minimizing

where *V* is the diagonal matrix whose main diagonal consists of the specific variances. This produces factor scores satisfying

For Bartlett’s method we define the factor score matrix** **to be the *m × k*

and so the factor scores for a sample *X* are given by

For Example 1 of Factor Extraction the factor score matrix and calculation for the first sample using Bartlett’s method is shown in Figure 4.

**Figure 4 – Factor scores using Bartlett’s method**

Here *L*^{T}*V ^{-1}L* (range CN:CQ21) is calculated by the array formula

=MMULT(TRANSPOSE(B44:E52),MMULT(MINVERSE(DIAGONAL(Q44:Q52)),

B44:E52))

The factor score matrix (range CN26:CQ34) is calculated by the formula

=TRANSPOSE(MMULT(MINVERSE(CN18:CQ21),MMULT(TRANSPOSE(B44:E52

MINVERSE(DIAGONAL(Q44:Q52)))))

The rest of the figure is calculated as in Figure 2. In a similar fashion we can calculate the factor scores for the entire sample (see Figure 2 of Principal Component Analysis). The result for the first 10 sample items is shown in Figure 5 (note that we are now showing the *X* as row vectors instead of column vectors as was employed in Figure 4).

**Figure 5 – Factor scores using Bartlett’s method**

Here the factor scores for the entire sample is given in range CZ19:DC38, and is calculated by the formula =MMULT(B4:J123-B126:J126,CN26:CQ34), referring to cells in Figure 1 of Principal Component Analysis and Figure 4.

**Anderson-Rubin’s Method**

In this method the factor scores are not correlated. This method produces factor scores satisfying

We define the factor score matrix** **to be the *m × k* matrix

and so the factor scores for a sample *X* are given by

To calculate the factor matrix for Example 1 of Factor Extraction using Anderson-Rubin’s method, we first find the matrices shown in Figure 6.

**Figure 6 – Preliminary calculations for factor matrix using Anderson-Rubin**

All these matrices are calculated using standard Excel matrix functions as we have seen previous (see for example Figure 4), with the exception of

This requires finding the square root of a positive semidefinite matrix as described in Positive Definite Matrices. To avoid carrying out the complicated calculations, the following array function is provided in the Real Statistics Resource Pack:

**Real Statistics Functions**: The Real Statistics Resource Pack provides the following supplemental array function, where R1 is a *k × k* range in Excel.

**MSQRT**(R1): Produces a *k × k* array which is the square root of the matrix represented by range R1

Thus (range DR12:DU15) is calculated using the formula

=MINVERSE(MSQRT(DF17:DI20))

The factor score matrix and calculation for the first sample using Anderson-Rubin’s method is shown in Figure 7.

**Figure 7 – Factor scores using Anderson-Rubin’s method**

The factor score matrix (range DF26:DI34) is calculated using the formula

=TRANSPOSE(MMULT(DR12:DU15,DR5:DZ8))

The factor scores for the first 10 sample items is shown in Figure 8 (note that as before we are now showing the *X* as row vectors instead of column vectors as was employed in Figure 7).

**Figure 8 – Factor scores using Anderson-Rubin’s method**

The factor scores (using any of the methods described above) can now be used as the data for subsequent analyses. In some sense they provide similar information as that given in the original sample (Figure 1 of Principal Component Analysis), but with a reduced number of variables (as was our original intention).

Note that exploratory factor analysis does not require that the data be multivariate normally distributed, but many of the analyses that will be done using the reduced factors (and factor scores) will require multivariate normality.

Charles,

Thank you for your very clear explanations. This is extremely helpful. The method described above, however, calculates the factor scores on the unrotated components. How would you calculate the scores after rotation?

Bernie

Bernie,

On the following webpage

http://www.real-statistics.com/multivariate-statistics/factor-analysis/rotation/

X = LY + epsilon is replaced by X = L’Y’ (this is the rotation)

On the referenced webpage (Factor Scores), L has been renamed beta, and so, if I remember correctly, you just need replace beta by L’ and Y by Y’ in the description.

Charles

Hi Charles,

Thanks for clarifying this. If you can find time in your busy schedule, it would be great if you could add the calculations to this page so that users can double-check their work. (By the way, is your book available already? Thanks for alerting your followers!)

Bernard,

Thanks for your suggestion about showing the calculations. This is a good idea and I will try to get to it after I finish a number of things on my plate, one of which is the book. The book is written and I have been slowing proof-reading it. This is about 30% done, but it is slow going. Sorry for the delay.

Charles

Hello. Thank you very much for developing this software. Are the factor scores for each of the samples calculated somewhere by the software, or do I have to do that by myself following your example?

David,

They are calculated for you as explained at

http://www.real-statistics.com/multivariate-statistics/factor-analysis/real-statistics-support-factor-analysis/

Charles

I am sure I’m being really stupid, but I can’t find it. I see the loadings, which I understand to be the contributions of each factor to each independent variable (expect, entertain, etc.) and I see an example in Figure 7 of the factors for one sample, but I don’t see where the results are for all samples.

Mr. Charles,

first of all i would like to introduce my self, my name is Harniaty, i really appreciate what have you write in this web specially for this topic. it’s very helpfull to answer what have my lecture ask me.

Hello Charles,

I have an analysis which requires doing two tasks in sequence: 1. PCA to reduce dimensions/variables, 2. use factor scores (from step 1) to cluster observations using k-means iterations.

I am using SPSS Modeler and found that all the factor scores (say from 1 to 5) are standardized. i.e. each has mean ~ 0 and sd ~ 1. My question is, whether using standardized scores will dilute the importance of the “few initial” principal components when doing iterations on k-means?

Can one obtain the un-standardized factor scores using the following formula:

For obs 1: Loading of var. X1 on F1*Value of X1 for obs 1 + Loading of var. X2 on F1*Value of X2 for obs 1 + .. + and so on ? Or are there any other methods to accomplish this.

Aditya,

Sorry, but I don’t have time to investigate whether using standardized scores will dilute the importance of the “few initial” principal components when doing iterations on k-means. I have presented the most common methods of creating factor scores. I am sure there are other approaches, but I can’t say whether the approach that you are suggesting will do.

Charles

Hello Charles,

Firstly, I would to thank you for taking the time to explain the fundamental of statistics. I have reviewed many statistics websites and yours is the most comprehensive and comprehensible.

While I understand your methodology for factor analysis, I do not understand why the final score for each factor for each of the 120 observations should be based on sum of all nine (9) characteristic of a great teacher. If the aim of the analysis was to determine which characteristics fall into factor 1, factor 2, etc, should the factor score not be based solely on the sum of the characteristics that fall within that factor?

For ex. for Factor 1, why do we not sum the product of the 120 standardized observations and the factor loadings for Entertainment, Communications, Charisma and Passion?

Please note that I have never performed Factor Analysis or PCA and I am currently trying to under it’s core concepts and determine if it can be used in my research analysis.

If I can use this analysis in my research, I need to be able to use the factor scores to conduct multiple linear regression analysis, so it’s important for me to understand the how the factor scores are developed and what is it’s physical interpretation.

Thank you in advance for your time and understanding.

Regards,

Kerolyn

Kerolyn,

Essentially the factor scores are a way of mapping the the data from the original variables into values for the factors. Thus by definition once you have the factor scores you can do further analyses using the factor values and not the values for the original variables.

Charles

Excellent!!, Awesome!!

Thank you so much for such a wonderful website sir.

Your website has immensely helped me clear a lot of my concepts and fundamentals.

I humbly request you to post a tutorial on Linear Discriminant Analysis and Structural Equation Modeling if possible.

Once again Thanks a lot!!

Truly Grateful

Regards

Raghavendra S Bendigeri

I am very happy to read that the website has helped you a lot. I plan to add Linear Discriminant Analysis and Structural Equation Modeling, but there always seem to be higher priority enhancements. The next major new features are going to relate to forecasting, time series analysis and repeated measures ANOVA using regression.

Charles

A reviewer commented on my manuscript: “How were the factor scores computed? Are they weighted by loadings or just summed?”. I used your addin and reported the Varimax-rotated factor loadings. The three different methods of weighing factor scores were included in the output file, but I am not sure which one to include in my report. Do you have any suggestions? Thank you so much for creating and maintaining this project!

Peter,

The following article comments on the advantages/disadvantages of each method.

pareonline.net/getvn.asp?v=14&n=20

Charles

Dear Charles,

You are a great help for students like me who do not have any background in statistics. Currently, I am doing a factor analysis (unweighted least square) on some data (collected on different variables of health care access) through which I intend to make an index of accessibility of health for individuals in sample. In my analysis, I am getting three components/dimensions and their respective scores for individuals in samples. What if I add up these three different scores of individuals and say that individuals who have high aggregate score have higher access of health and vice versa. Is it ok going in such a way and if its wrong please suggest me some other ways. Thanks.

As long as they have the same scale or their implied weightings are consistent with what you think is correct, then I don’t see any problem with creating an aggregate score. You could have done the same with the raw data before you performed the factor analysis. Now whether those who have a high aggregate score really have higher access to healthcare and vice versa should really be tested (e.g. via regression) since a priori it isn’t necessarily true.

Charles

Sir

I use factor analysis of the realsatatistics pack 2.3.1 to calculate factor score matrix, but it seems the result is totally different with the example in this website.

Colin

Colin,

I don’t recall changing the method I am using to calculate the factor score matrix. If you send me a spreadsheet with your data and the results that were calculated I can check to see what happened.

Charles

Dear Sir,

I am very thankful to you for your tremendous effort for devoliping this addins in excel sheet which is very fruitfull for us. I have recently started analysing my data using this addin.

I want to know about the loading factor matrix. How to get full loading matrix from the eigenvalue and eigen vector.

Thanks.

The calculation of the full loading matrix is described on the webpage http://www.real-statistics.com/multivariate-statistics/factor-analysis/factor-extraction/ based on the basic concepts described on the webpage http://www.real-statistics.com/multivariate-statistics/factor-analysis/basic-concepts-factor-analysis/.

Charles

Can you clarify whether standardized values for x are to be used when calculating y? It looks like you are using the non-standardized values, yet the tutorials on the previous steps calculated the eigen-vectors and loadings using standardized (at least with respect to variance) data. If your eigen vectors and loadings come from normalized data, then you need to use normalized data when calculating the y that corresponds to a given x, right?

David,

Clearly I standardized in performing the principal component analysis, but I can’t recall whether I did the same in the factor analysis example. I will take a look at what I did there and get back to you.

Charles

I have found your website very helpful in terms of walking me through factor analysis (I’m implementing the process in another language.)

Two notes:

1. In the introductory section of this page you have: “L = [bij] is the k × k …” I think you mean to say “L = [bij] is the m × k …”

2. When explaining the least squares method, you have “Now LTL = D where D is a diagonal matrix whose main diagonal consists of the eigenvalues of S. Thus LTL-1 is the diagonal matrix whose main diagonal consists of 1/λ1, ⋯, 1/λk.”

For clarity, you should put the “-1” outside of parentheses to indicate you are taking the inverse of the whole product rather than multiplying the transpose of L by its inverse. (I know, obvious to someone who knows what is going on, but could sidetrack people who reading things literally.)

David,

Thanks for catching both of these typing errors. L is actually a k x m matrix and (LTL)-1 should definitely be expressed with the -1 outside the parentheses.

Charles

Sir

In the function MSQRT(R1), it seems that must be a symmetric matrix, why?

Colin

Colin,

In the cases we are considering R1 represents a positive definite matrix, which as described in the following webpage means that it is symmetric.

http://www.real-statistics.com/linear-algebra-matrix-topics/positive-definite-matrices/

Charles