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math.OC2024
factor analysis
Linyang Wang, Wanquan Liu, Bin Zhu
Factor Analysis is about finding a low-rank plus sparse additive decomposition from a noisy estimate of the signal covariance matrix. In order to get such a decomposition, we formu…
math.OC2024
Factor Analysis: A P-Stationary Point Theory
Linyang Wang, Bin Zhu, Wanquan Liu
Factor Analysis is a widely used modeling technique for stationary time series which achieves dimensionality reduction by revealing a hidden low-rank plus sparse structure of the c…