Non-Independent Components Analysis

  • Authors: Piotr Zwiernik and Geert Mesters.
  • BSE Working Paper: 112302 | September 22
  • Keywords: identification , independent components analysis , cumulants , moments , tensors
  • JEL codes: C20, C30
  • identification
  • independent components analysis
  • cumulants
  • moments
  • tensors
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Abstract

A seminal result in the ICA literature states that for AY = ε if the components of ε 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 higher order moment or cumulant tensors of ε. We document new conditions that establish identification for several non-independent component models, e.g. common variance models, and propose efficient estimation methods based on the identification results. We show that in situations where independence cannot be assumed the efficiency gains can be significant relative to methods that rely on independence.

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