Non-independent components analysis
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- dc.contributor.author Mesters, Geert
- dc.contributor.author Zwiernik, Piotr
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2024-11-14T10:09:54Z
- dc.date.available 2024-11-14T10:09:54Z
- dc.date.issued 2022-08-01
- dc.date.modified 2024-11-14T10:08:43Z
- dc.description.abstract A seminal result in the ICA literature states that for AY=e, if the components of e are independent and at most one is Gaussian, then A is identified up to sign and permutation of its rows (Comon, 1994) In this paper we study to which extent the independence assumption can be relaxed by replacing it with restrictions on the moments or cumulants of e. We document minimal conditions for identifiability and propose efficient estimation methods based on the new identification results. In situations where independence cannot be assumed the efficiency gains can be significant relative to methods that rely on independence. The proof strategy employed highlights new geometric and combinatorial tools that can be adopted to study identifiability via higher order restrictions in linear systems.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1845
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/68639
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1845
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword independent components analysis
- dc.subject.keyword cumulants
- dc.subject.keyword moments
- dc.subject.keyword tensors
- dc.subject.keyword identification
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Non-independent components analysis
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper