- Factor Analysis and Alternating Minimization
- Lecture Notes in Control and Information Sciences
- Pages (from-to)
- Document type
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
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.
- Proceedings title: Modeling, Estimation and Control (Festschrift in Honor of Giorgio Picci on the Occasion of his Sixty-Fifth
Editors: A. Chiuso, S. Pinzoni, A. Ferrante
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