Perspectives on Latent Factor Indeterminacy and its Implications for Data Representation
潜在因子不确定性的多重视角及其数据表征含义AI 解读 ↓
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潜在因子不确定性的多重视角及其数据表征含义AI 解读 ↓
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The common factor analytic model is related to Helmholtz and Boltzmann machines, can be conceived as a linear autoencoder, or can be thought of as a single-hidden-layer generative neural network. We thus consider it a basal generative representation learner that can be used as a minimal model for studying the foundational characteristics of (deep) generative model architectures. We focus on the fundamental problem of indeterminacy in latent factor projections. This indeterminacy implies that, even when the intrinsic dimension of the latent vector is known, regularity conditions are met, and rotational indeterminacy is resolved, an inherent indefiniteness in the retrieval of causative latent sources remains: they will be uncertain, distributionally deviant, and non-unique. This can have major implications for data representation but remains an elusive issue, even to practitioners and theorists well-versed in the factor model. Moreover, this classic psychometric problem is intricately related to the modern issue of latent variable collapse in the variational autoencoder framework for deep generative modeling. Here, we assess this indeterminacy from various perspectives and show how these are mathematically and conceptually related and we discuss subsequent implications for the Psychometrics, Statistics, and Artificial Intelligence communities. We show that one has latent factor determinacy across all its facets when the feature-dimension grows to infinity. This feeds into an essentially distribution-free estimation approach in the sample case when the number of features grows very large. We conclude, as these are emergent properties at scale, that the factor model is suited for representation learning of very-high-dimensional data.
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Factor structures are central to empirical work in economics and finance, and are usually used to model time-varying unobserved heterogeneity through interactive fixed effects (IFE). Existing IFE estimators rest on low-dimensional and linear specifications in the covariates, assumptions which are increasingly restrictive in applications drawing on rich datasets with controls of unknown functional form. This paper develops a Double Machine Learning estimator for the…