Probabilistic Disjoint Principal Component Analysis. (2nd January 2019) - Ferrara, Carla
Abstract: One of the most relevant problems in principal component analysis and factor analysis is the interpretation of the components/factors. In this paper, disjoint principal component analysis model is extended in a maximum-likelihood framework to allow for inference on the model parameters. A coordinate ascent algorithm is proposed to estimate the model parameters. The performance of the methodology is evaluated on simulated and real data sets.