Alternating I-divergence minimization in factor analysis
نویسندگان
چکیده
In this paper we 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. Institute of Biomedical Engineering, CNR-ISIB, Padova, [email protected] Korteweg-deVries Institute for Mathematics, Universiteit van Amsterdam, Amsterdam, [email protected]
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