Estimating multivariate latent-structure models
dc.contributor.author | Bonhomme, S | |
dc.contributor.author | Jochmans, K | |
dc.contributor.author | Robin, JM | |
dc.date.accessioned | 2018-12-14T00:30:25Z | |
dc.date.available | 2018-12-14T00:30:25Z | |
dc.date.issued | 2016 | |
dc.identifier.issn | 0090-5364 | |
dc.identifier.uri | https://www.repository.cam.ac.uk/handle/1810/286881 | |
dc.description.abstract | © Institute of Mathematical Statistics, 2016. 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 nonorthogonal 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. | |
dc.description.sponsorship | Supported by European Research Council Grant ERC-2010-StG-0263107-ENMUH. Supported by Sciences Po’s SAB grant “Nonparametric estimation of finite mixtures.” Supported by European Research Council Grant ERC-2010-AdG-269693-WASP and by Economic and Social Research Council Grant RES-589-28-0001 through the Centre for Microdata Methods and Practice. | |
dc.publisher | Institute of Mathematical Statistics | |
dc.rights | Publisher's own licence | |
dc.title | Estimating multivariate latent-structure models | |
dc.type | Article | |
prism.endingPage | 563 | |
prism.issueIdentifier | 2 | |
prism.publicationDate | 2016 | |
prism.publicationName | Annals of Statistics | |
prism.startingPage | 540 | |
prism.volume | 44 | |
dc.identifier.doi | 10.17863/CAM.34190 | |
rioxxterms.versionofrecord | 10.1214/15-AOS1376 | |
rioxxterms.version | VoR | |
rioxxterms.licenseref.uri | http://www.rioxx.net/licenses/all-rights-reserved | |
rioxxterms.licenseref.startdate | 2016-04-01 | |
dc.contributor.orcid | Jochmans, Koen [0000-0002-3090-3003] | |
rioxxterms.type | Journal Article/Review | |
cam.issuedOnline | 2016-03-17 |
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