Estimating multivariate latent-structure models
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finite mixture modelhidden Markov modellatent structuremultilinear restrictionsmultivariate datanonparametric estimationsimultaneous matrix diagonalization
Eigenvalues, singular values, and eigenvectors (15A18) Factorization of matrices (15A23) Multilinear algebra, tensor calculus (15A69) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Contingency tables (62H17) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: estimation; hidden Markov models (62M05)
Abstract: 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.
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