Factor Analysis of Moving Average Processes
Optimization and Control
2015-08-26 v3
Abstract
The paper considers an extension of factor analysis to moving average processes. The problem is formulated as a rank minimization of a suitable spectral density. It is shown that it can be adequately approximated via a trace norm convex relaxation.
Cite
@article{arxiv.1405.0023,
title = {Factor Analysis of Moving Average Processes},
author = {Mattia Zorzi and Rodolphe Sepulchre},
journal= {arXiv preprint arXiv:1405.0023},
year = {2015}
}