Factor analysis with finite data

MaRDI QIDQ6289649zbMATH OpenFDO

Authors Valentina Ciccone, Augusto Ferrante, Mattia Zorzi

Publication date 1 August 2017

Abstract: Factor analysis aims to describe high dimensional random vectors by means of a small number of unknown common factors. In mathematical terms, it is required to decompose the covariance matrix $Sigma$ of the random vector as the sum of a diagonal matrix $D$ | accounting for the idiosyncratic noise in the data | and a low rank matrix $R$ | accounting for the variance of the common factors | in such a way that the rank of $R$ is as small as possible so that the number of common factors is minimal. In practice, however, the matrix $Sigma$ is unknown and must be replaced by its estimate, i.e. the sample covariance, which comes from a finite amount of data. This paper provides a strategy to account for the uncertainty in the estimation of $Sigma$ in the factor analysis problem.

This page was built for publication: Factor analysis with finite data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6289649)