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Consistent Noisy Independent Component Analysis

 

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Type:   Article
 
Titre:   Consistent Noisy Independent Component Analysis
 
Auteur(s):   Robin, Jean-Marc (1961-...) - UCL Department of Economics (Auteur)
Bonhomme, Stéphane (Auteur)
 
In:   Journal of Applied Econometrics
 
Date de publication:   2009-01
 
Éditeur:   ÉTATS-UNIS  :  John Wiley & Sons
 
Pages:   1-45  p.
 
ISSN:   08837252
 
Résumé:   [en] 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.
 
 

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