Approximation stochastique en analyse factorielle multiple
Résumé
We study the multiple factorial analysis of a random vector $X$ in $\Bbb R^p$ as a principal component analysis of $X$ with a particular choice of the inner product in $\Bbb R^p$. We use a stochastic approximation process to estimate recursively the principal components of this analysis by means of a sequence of i.i.d. observation of $X$. Stochastic approximations of the symmetrical positive definite matrix $M$ defining the inner product in $\Bbb R^p$ and of the principal components are made simultaneously
Domaines
Probabilités [math.PR]
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