Factor Analysis and Alternating Minimization

MaRDI QIDQ5436797zbMATH OpenFDO

Authors Lorenzo Finesso, Peter Spreij

Publication date 17 January 2008

Full work available at URL https://arxiv.org/abs/0704.2208

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

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.

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