May 2015
Intermediate to advanced
384 pages
9h 20m
English
book
Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
by Tailen Hsing, Randall Eubank
Content preview from Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
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10.4 Factor analysis
In this section, we explore the problem of factor analysis under the same conditions as Section 10.3. For that purpose, we consider the signal-plus-noise model given by
for 
. Here 
, and 
are all zero mean, 
valued processes with covariance kernels 
, and 
. The signal process, 
, is assumed to be uncorrelated with the noise process 
. With this latter specification model (10.25) can be viewed as the natural extension of the mva factor model (1.21) to continuous time.
Following along the lines of our factor analysis development in Section 1.1, our first step should be canonical ...
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