Factor analysis for a mixture of continuous and binary random variables

Abstract

We propose a multivariate probability distribution that models a linear correlation between binary and continuous variables. The proposed distribution is a natural extension of the previously developed multivariate binary distribution. As an application of the proposed distribution, we develop a factor analysis for a mixture of continuous and binary variables. We also discuss improper solutions associated with factor analysis. As a prescription to avoid improper solutions, we propose a constraint that each row vector of factor loading matrix has the same norm. We numerically validated the proposed factor analysis and norm constraint prescription by analyzing real datasets.