Abstract
We propose multivariate tobit factor analysis models by assuming multivariate t-distribution error in tobit factor analysis. To circumvent direct calculation of the intractable likelihood function, we apply the MCEM algorithm to obtain the MLEs with its E-step made feasible by Monte Carlo estimates and its M-step greatly simplified under Conditional Maximization. Standard errors are evaluated by using Louis's method. The algorithm was illustrated through a simulation study.
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