Learning a factor model via regularized PCA

DOI10.1007/s10994-013-5345-8zbMath1293.68230arXiv1111.6201OpenAlexW3098601467MaRDI QIDQ399883

Yi-Hao Kao, Benjamin van Roy

Publication date: 20 August 2014

Published in: Machine Learning (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6201

zbMATH Keywords

regularizationprincipal component analysishigh-dimensional datafactor modelcovariance matrix estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Learning and adaptive systems in artificial intelligence (68T05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (2)

Directed Principal Component Analysis ⋮ Decision-based model selection

Uses Software

• glasso

Cites Work

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