  Nonnegative matrix factorization (NMF) has been widely used in machine
learning and signal processing because of its non-subtractive, part-based
property which enhances interpretability. It is often assumed that the latent
dimensionality (or the number of components) is given. Despite the large amount
of algorithms designed for NMF, there is little literature about automatic
model selection for NMF with theoretical guarantees. In this paper, we propose
an algorithm that first calculates an empirical second-order moment from the
empirical fourth-order cumulant tensor, and then estimates the latent
dimensionality by recovering the support union (the index set of non-zero rows)
of a matrix related to the empirical second-order moment. By assuming a
generative model of the data with additional mild conditions, our algorithm
provably detects the true latent dimensionality. We show on synthetic examples
that our proposed algorithm is able to find an approximately correct number of
components.
