Year: 2014
Type: preprint
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.
Source: arXiv (Cornell University)
Authors: Zorzi, Mattia, Sepulchre, Rodolphe
Institutions: University of Padua, University of Cambridge
Language: English
Subfield: Computational Mechanics
Field: Engineering
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2951424564