کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097091 1376570 2009 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Consistent noisy independent component analysis
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Consistent noisy independent component analysis
چکیده انگلیسی
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 the 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 149, Issue 1, April 2009, Pages 12-25
نویسندگان
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