Construction of Covariance Matrices with a Specified Discrepancy Function Minimizer, with Application to Factor Analysis

DOI10.1137/080735515zbMath1198.62060OpenAlexW2015107984MaRDI QIDQ3053111

So Yeon Chun, Alexander Shapiro

Publication date: 4 November 2010

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080735515

zbMATH Keywords

semidefinite programmingmaximum likelihoodfactor analysisgeneralized least squaresmodel misspecificationcovariance structure analysisdiscrepancy function

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Semidefinite programming (90C22) Monte Carlo methods (65C05) Nonconvex programming, global optimization (90C26)

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