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Consistent noisy independent component analysis
[Zeitschriftenartikel]
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 d... mehr
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.... weniger
Thesaurusschlagwörter
Faktorenanalyse; lineares Modell
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Freie Schlagwörter
Independent Component Analysis; Factor Analysis; High-order moments; Noisy ICA; JEL Classification: C14.
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 12-25
Zeitschriftentitel
Journal of Econometrics, 149 (2009) 1
DOI
https://doi.org/10.1016/j.jeconom.2008.12.019
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)