Learning a factor model via regularized PCA
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Abstract: We consider the problem of learning a linear factor model. We propose a regularized form of principal component analysis (PCA) and demonstrate through experiments with synthetic and real data the superiority of resulting estimates to those produced by pre-existing factor analysis approaches. We also establish theoretical results that explain how our algorithm corrects the biases induced by conventional approaches. An important feature of our algorithm is that its computational requirements are similar to those of PCA, which enjoys wide use in large part due to its efficiency.
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- scientific article; zbMATH DE number 3258737 (Why is no real title available?)
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Cited in
(6)- Rigid transformations for stabilized lower dimensional space to support subsurface uncertainty quantification and interpretation
- Directed principal component analysis
- Decision-based model selection
- Regularised PCA to denoise and visualise data
- Learning linear PCA with convex semi-definite programming
- Sparse factor analysis for learning and content analytics
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