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