Arbeitspapier

Consistent noisy independent component analysis

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We study linear factor models under the assumptions that factors are mutually independent and independent of errors, and errors can be correlated to some extent. Under factor non-Gaussianity, second to fourth-order moments are shown to yield full identification of the matrix of factor loadings. We develop a simple algorithm to estimate the matrix of factor loadings from these moments. We run Monte Carlo simulations and apply our methodology to British data on cognitive test scores

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP04/08

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
Thema
Independant Component Analysis , Factor Analysis , high order moments , noisy ICA
Faktorenanalyse
Fehlerkorrekturmodell
Kognition
Statistischer Test
Großbritannien

Ereignis
Geistige Schöpfung
(wer)
Bonhomme, Stéphane
Robin, Jean-Marc
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2007

DOI
doi:10.1920/wp.cem.2008.0408
Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Bonhomme, Stéphane
  • Robin, Jean-Marc
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2007

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