Factor analysis: how to extract the low rank matrix and the diagonal matrix

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感动是毒
感动是毒 2021-01-11 10:06

The factor analysis model is $x = Rz + \\epsilon$ where $z \\sim N(0, I)$, $\\epsilon \\sim N(0, \\Psi)$, and $\\Psi$ is a diagonal matrix. Let $\\Sigma$ be the covariance m

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