Factor Analysis and Alternating Minimization
arXiv:0704.2208 · doi:10.1007/978-3-540-73570-0
Abstract
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.