Minimum rank and minimum trace of covariance matrices |
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| Authors: | Giacomo Della Riccia Alexander Shapiro |
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| Affiliation: | (1) Ben-Gurion University of the Negev, Israel;(2) Faculty of Sciences, University of Udine, 33100 Udine, Italy |
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| Abstract: | This paper considers some mathematical aspects of minimum trace factor analysis (MTFA). The uniqueness of an optimal point of MTFA is proved and necessary and sufficient conditions for a point x to be optimal are established. Finally, some results about the connection between MTFA and the classical minimum rank factor analysis will be presented. |
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| Keywords: | factor analysis covariance matrices minimum trace constrained minimum trace minimum rank |
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