Parameters not identifiable or distinguishable from data, including correlation between Gaussian observations
It is shown that some theoretically identifiable parameters cannot be identified from data, meaning that no consistent estimator of them can exist. An important example is a constant correlation between Gaussian observations (in presence of such correlation not even the mean can be identified from data). Identifiability and three versions of distinguishability from data are defined. Two different constant correlations between Gaussian observations cannot even be distinguished from data. A further example are cluster membership parameters in k-means clustering. Several existing results in the literature are connected to the new framework.
READ FULL TEXT