Factor Analysis and Alternating Minimization
Probability
2023-02-27 v1 Optimization and Control
Abstract
In this paper we make a first attempt at understanding how to build an optimal approximate normal factor analysis model. The criterion we have chosen to evaluate the distance between different models is the I-divergence between the corresponding normal laws. The algorithm that we propose for the construction of the best approximation is of an the alternating minimization kind.
Cite
@article{arxiv.0704.2208,
title = {Factor Analysis and Alternating Minimization},
author = {Lorenzo Finesso and Peter Spreij},
journal= {arXiv preprint arXiv:0704.2208},
year = {2023}
}