Factor Analysis and Alternating Minimization

Details Factor Analysis and Alternating Minimization Factor Analysis and Alternating Minimization

2007-04-17

arxiv.org/abs/0704.2208v1

Mathematics

Probability

Scientific paper

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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