Estimating Multivariate Latent-Structure Models
Résumé
A constructive proof of identification of multilinear decompositions of multiway arrays is presented. It can be applied to show identification in a variety of multivariate latent structures. Examples are finite-mixture models and hidden Markov models. The key step to show identification is the joint diagonalization of a set of matrices in the same non-orthogonal basis. An estimator of the latent-structure model may then be based on a sample version of this joint-diagonalization problem. Algorithms are available for computation and we derive distribution theory. We further develop asymptotic theory for orthogonal-series estimators of component densities in mixture models and emission densities in hidden Markov models.
Domaines
Economies et finances
Fichier principal
2016-bonhomme-jochmans-robin-estimating-multivariate-latent-structure-models.pdf (479.1 Ko)
Télécharger le fichier
Origine | Fichiers produits par l'(les) auteur(s) |
---|