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Estimating Multivariate Latent-Structure Models

Abstract : A constructive proof of identification of multilinear decompositions of multiway arrays is presented. It can be applied to show identification in a variety of multivariate latent structures. Examples are finite-mixture models and hidden Markov models. The key step to show identification is the joint diagonalization of a set of matrices in the same non-orthogonal basis. An estimator of the latent-structure model may then be based on a sample version of this simultaneous-diagonalization problem. Simple algorithms are available for computation. Asymptotic theory is derived for this joint approximate-diagonalization estimator.
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Submitted on : Thursday, August 20, 2015 - 1:33:59 PM
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Stéphane Bonhomme, Koen Jochmans, Jean-Marc Robin. Estimating Multivariate Latent-Structure Models. 2014. ⟨hal-01097135v2⟩



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