| Title:
|
An alternating minimization algorithm for Factor Analysis (English) |
| Author:
|
Ciccone, Valentina |
| Author:
|
Ferrante, Augusto |
| Author:
|
Zorzi, Mattia |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
55 |
| Issue:
|
4 |
| Year:
|
2019 |
| Pages:
|
740-754 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
The problem of decomposing a given covariance matrix as the sum of a positive semi-definite matrix of given rank and a positive semi-definite diagonal matrix, is considered. We present a projection-type algorithm to address this problem. This algorithm appears to perform extremely well and is extremely fast even when the given covariance matrix has a very large dimension. The effectiveness of the algorithm is assessed through simulation studies and by applications to three real benchmark datasets that are considered. A local convergence analysis of the algorithm is also presented. (English) |
| Keyword:
|
matrix decomposition |
| Keyword:
|
factor analysis |
| Keyword:
|
covariance matrices |
| Keyword:
|
low rank matrices |
| Keyword:
|
projections |
| MSC:
|
62H25 |
| idZBL:
|
Zbl 07177914 |
| idMR:
|
MR4043546 |
| DOI:
|
10.14736/kyb-2019-4-0740 |
| . |
| Date available:
|
2020-01-10T14:23:14Z |
| Last updated:
|
2020-04-02 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/147967 |
| . |
| Reference:
|
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