Factor Analysis of Moving Average Processes

2014/04/30 by Zorzi, Mattia, Sepulchre, Rodolphe · 1 citation
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1405.0023

Abstract

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.

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