Journal article | Zeitschriftenartikel
Consistent noisy independent component analysis
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 data on cognitive test scores, and financial data on stock returns.
- Umfang
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Seite(n): 12-25
- Sprache
-
Englisch
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Journal of Econometrics, 149(1)
- Thema
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Wirtschaft
Sozialwissenschaften, Soziologie
Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Faktorenanalyse
lineares Modell
- Ereignis
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Geistige Schöpfung
- (wer)
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Bonhomme, Stéphane
Robin, Jean-Marc
- Ereignis
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Veröffentlichung
- (wo)
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Niederlande
- (wann)
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2009
- DOI
- URN
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urn:nbn:de:0168-ssoar-214088
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:26 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Bonhomme, Stéphane
- Robin, Jean-Marc
Entstanden
- 2009
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