Consistent Noisy Independent Component Analysis

Stéphane Bonhomme and Jean-Marc Robin
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Stéphane Bonhomme: CEMFI - Centre de Estudios monetarios y financierios - Banco de España

PSE-Ecole d'économie de Paris (Postprint) from HAL

Abstract: 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 the 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.

Keywords: Independent Component Analysis; Factor Analysis; High-order moments; Noisy ICA (search for similar items in EconPapers)
Date: 2009-04
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Citations: View citations in EconPapers (26)

Published in Econometrics, 2009, 149 (1), pp.12-25. ⟨10.1016/j.jeconom.2008.12.019⟩

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Related works:
Journal Article: Consistent noisy independent component analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent Noisy Independent Component Analysis (2009)
Working Paper: Consistent noisy independent component analysis (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:hal-00642732

DOI: 10.1016/j.jeconom.2008.12.019

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