- Title
- A rank-constrained optimization approach: application to factor analysis
- Creator
- Delgado, Ramón A.; Aguero, Juan C.; Goodwin, Graham C.
- Relation
- 19th World Congress of the International Federation of Automatic Control (IFAC 2014). Proceedings of the 19th World Congress of the International Federation of Automatic Control (Cape Town, South Africa 24-29 August, 2014) p. 10373-10378
- Publisher Link
- http://dx.doi.org/10.3182/20140824-6-ZA-1003.02690
- Publisher
- International Federation of Automatic Control
- Resource Type
- conference paper
- Date
- 2014
- Description
- In this paper, we present a general method for rank-constrained optimization. We use an iterative convex optimization procedure where it is possible to include extra convex constraints. The proposed approach has potential application in several areas. We focus on the problem of Factor Analysis. In this case, our approach provides sufficient flexibility to handle correlated errors. The benefits of the method are demonstrated via a simulation study.
- Subject
- time series modelling; errors in variables identification; statistical data analysis
- Identifier
- http://hdl.handle.net/1959.13/1068027
- Identifier
- uon:18530
- Identifier
- ISBN:9783902823625
- Language
- eng
- Full Text
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|---|---|---|---|---|---|---|---|
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