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stat.ML2024
Fitting Multilevel Factor Models
Tetiana Parshakova, Trevor Hastie, Stephen Boyd
We examine a special case of the multilevel factor model, with covariance given by multilevel low rank (MLR) matrix~\cite{parshakova2023factor}. We develop a novel, fast implementa…
stat.ML2023
Factor Fitting, Rank Allocation, and Partitioning in Multilevel Low Rank Matrices
Tetiana Parshakova, Trevor Hastie, Eric Darve +1
We consider multilevel low rank (MLR) matrices, defined as a row and column permutation of a sum of matrices, each one a block diagonal refinement of the previous one, with all blo…