FACTOR ANALYSIS INVARIANT TO LINEAR TRANSFORMATIONS OF DATA

Abstract

Modeling data with Gaussian distributions is an important statistical problem. To obtain robust models one imposes constraints the means and covariances of these distributions [6, 4, 10, 8]. Constrained ML modeling implies the existence of optimal feature spaces where the constraints are more valid [2, 3]. This paper introduces one such constrained ML modeling technique called factor analysis invariant to linear transformations (FACILT) which is essentially factor analysis in optimal feature spaces. FACILT is a generalization of several existing methods for modeling covariances. This paper presents an EM algorithm for FACILT modeling.