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Preprints, Working Papers, ... Year : 2014

Estimating Multivariate Latent-Structure Models

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Koen Jochmans
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Jean-Marc Robin

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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Dates and versions

hal-01097135 , version 1 (22-12-2014)
hal-01097135 , version 2 (20-08-2015)

Licence

Attribution - NoDerivatives - CC BY 4.0

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Stéphane Bonhomme, Koen Jochmans, Jean-Marc Robin. Estimating Multivariate Latent-Structure Models. 2014. ⟨hal-01097135v2⟩
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