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| PLS_Toolbox Documentation: varimax | < varcapy | vip > |
varimax
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
, and
the simplicty for each factor (column) is 
where the overbar
indicates the mean and ak 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
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