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Approximate factor analysis model buildi...

Finesso, Lorenzo...

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Approximate factor analysis model building via alternating I-divergence minimization by Finesso, Lorenzo ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	09-12-2008
Summary	Given a positive definite covariance matrix Σˆ, we strive to construct an optimal \emph{approximate} factor analysis model HH⊤+D, with H having a prescribed number of columns and D>0 diagonal. The optimality criterion we minimize is the I-divergence between the corresponding normal laws. Lifting the problem into a properly chosen larger space enables us to derive an alternating minimization algorithm à la Csiszár-Tusnády for the construction of the best approximation. The convergence properties of the algorithm are studied, with special attention given to the case where D is singular.
ISBN	-
Item Type	Article
File Type	pdf
File Size	36.88 KB
Language	English
Subjects	-
Unlimited	MYR 0.00
Total read	-
URL	https://arxiv.org/abs/0812.1804

Citation

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AMA 11th EditionReferences

Finesso, Lorenzo. Approximate factor analysis model building via alternating I-divergence minimization. N.A. December 09, 2008. Accessed October 03, 2025. https://online.provdatabase.com/cite/12652

APA 7th EditionReferences

Finesso, Lorenzo. (2008). Approximate factor analysis model building via alternating I-divergence minimization. N.A. https://online.provdatabase.com/cite/12652

Chicago 17th EditionReferences

Finesso, Lorenzo. Approximate factor analysis model building via alternating I-divergence minimization. N.A. 2008. https://online.provdatabase.com/cite/12652

HarvardReferences

Finesso, Lorenzo. (2008). Approximate factor analysis model building via alternating I-divergence minimization. [Online]. N.A. Available from: https://online.provdatabase.com/cite/12652. (Accessed 03 October 2025).

Harvard AustraliaReferences

Finesso, Lorenzo, 2008, Approximate factor analysis model building via alternating I-divergence minimization, N.A, viewed 03 October 2025, <https://online.provdatabase.com/cite/12652>

MLA 9th EditionWorks Cited

Finesso, Lorenzo. Approximate factor analysis model building via alternating I-divergence minimization. N.A, 2008. PROV Database, https://online.provdatabase.com/cite/12652.

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