Consistent noisy independent component analysis

Bonhomme, Stéphane; Robin, Jean-Marc

[journal article]

dc.contributor.author	Bonhomme, Stéphane	de
dc.contributor.author	Robin, Jean-Marc	de
dc.date.accessioned	2011-02-01T02:56:00Z	de
dc.date.accessioned	2012-08-30T06:49:11Z
dc.date.available	2012-08-30T06:49:11Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/21408
dc.description.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 data on cognitive test scores, and financial data on stock returns.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Sozialwissenschaften, Soziologie	de
dc.subject.ddc	Social sciences, sociology, anthropology	en
dc.subject.ddc	Economics	en
dc.subject.other	Independent Component Analysis; Factor Analysis; High-order moments; Noisy ICA; JEL Classification: C14.
dc.title	Consistent noisy independent component analysis	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Econometrics	de
dc.source.volume	149	de
dc.publisher.country	NLD
dc.source.issue	1	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Erhebungstechniken und Analysetechniken der Sozialwissenschaften	de
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods	en
dc.subject.thesoz	Faktorenanalyse	de
dc.subject.thesoz	factor analysis	en
dc.subject.thesoz	linear model	en
dc.subject.thesoz	lineares Modell	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-214088	de
dc.date.modified	2011-02-01T13:05:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
internal.identifier.thesoz	10051231
internal.identifier.thesoz	10035494
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	12-25
internal.identifier.classoz	10905
internal.identifier.classoz	10105
internal.identifier.journal	195	de
internal.identifier.document	32
internal.identifier.ddc	300
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1016/j.jeconom.2008.12.019	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	UNCERTAIN

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Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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