[R] Re: Factor analysis of categorical or mixed categorical/continuousdata in [R]

[Thomas Lumley]

On 21 Feb 2002, Peter Dalgaard BSA wrote:

>
> On the face of it (which is as far as I am able to see), it would seem
> fairly easy to set up an MLE procedure if you treat all discrete
> variables as obtained by setting cutpoints on continuous latent
> variables. I suspect this is what MPlus is doing. The requisite normal
> integrals should be available through library(mvtnorm).
>

My understanding is that the optimisation problem is difficult (even
worse than factor analysis).

OTOH it seems that L-BFGS-B in optim() can work miracles -- I've been
working on another problem related to factor analysis and optim() fits a
model with 4000 constrained parameters in a couple of minutes and gets the
right answer (in stark contrast to my prior attempts to write an optimiser
more tuned to the specific problem).


	-thomas

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