arXiv Open Access 2014

Factor Analysis of Moving Average Processes

Mattia Zorzi Rodolphe Sepulchre

Lihat Sumber

Abstrak

The paper considers an extension of factor analysis to moving average processes. The problem is formulated as a rank minimization of a suitable spectral density. It is shown that it can be adequately approximated via a trace norm convex relaxation.

Topik & Kata Kunci

math.OC

Penulis (2)

Mattia Zorzi

Rodolphe Sepulchre

Format Sitasi

APA MLA BibTeX

Zorzi, M., Sepulchre, R. (2014). Factor Analysis of Moving Average Processes. https://arxiv.org/abs/1405.0023

Akses Cepat

Lihat di Sumber

Informasi Jurnal

Tahun Terbit: 2014
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓