Approximate factor analysis model building via alternating I-divergence minimization

DOI10.1007/S11336-015-9486-5MaRDI QIDQ6211918zbMATH OpenWikidataFDO

Authors Lorenzo Finesso, Peter Spreij

Publication date 9 December 2008

Full work available at URL https://doi.org/10.1007/S11336-015-9486-5

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: Given a positive definite covariance matrix $widehatSigma$, we strive to construct an optimal emph{approximate} factor analysis model $H{H}^{o}p+D$, 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 `a la Csisz'ar-Tusn'ady 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.

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