Journal Article

Consistent noisy independent component analysis

Authors

Stéphane Bonhomme, Jean-Marc Robin

Published Date

1 April 2009

Type

Journal Article

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.


Previous version

Consistent noisy independent component analysis
Stéphane Bonhomme, Jean-Marc Robin
CWP04/08