Consistent noisy independent component analysis
Stéphane Bonhomme and
Jean-Marc Robin
No CWP04/08, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
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 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.
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2008-02-08
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (10)
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http://cemmap.ifs.org.uk/wps/cwp408.pdf (application/pdf)
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 (2009) 
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