| Autor: |
Finesso, Lorenzo, Spreij, Peter |
| Rok vydání: |
2007 |
| Předmět: |
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| Zdroj: |
in Modeling, Estimation and Control, Festschrift in Honor of Giorgio Picci on the Occasion of his Sixty-Fifth Birthday (2007) |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1007/978-3-540-73570-0 |
| Popis: |
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. |
| Databáze: |
arXiv |
| Externí odkaz: |
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