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Consistent Noisy Independent Component Analysis

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.
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Submitted on : Thursday, July 10, 2014 - 3:33:25 PM
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Jean-Marc Robin, Stéphane Bonhomme. Consistent Noisy Independent Component Analysis. Journal of Applied Econometrics, Wiley, 2009, pp.1-45. ⟨hal-01022621⟩



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