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Consistent noisy independent component analysis

Authors: St├ęphane Bonhomme and Jean-Marc Robin
Date: 08 February 2008
Type: cemmap Working Paper, CWP04/08
DOI: 10.1920/wp.cem.2008.0408


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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St├ęphane Bonhomme and Jean-Marc Robin April 2009, Consistent noisy independent component analysis, Journal article, Elsevier

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