Independent component analysis for multivariate functional data

DOI10.1016/J.JMVA.2019.104568MaRDI QIDQ2293541zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 5 February 2020

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.07641

zbMATH Keywords

dimension reductionfunctional principal component analysisHilbert spacecovariance operatorfourth order blind identificationjoint approximate diagonalization of eigenmatrices

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Functional data analysis (62R10)

Abstract: We extend two methods of independent component analysis, fourth order blind identification and joint approximate diagonalization of eigen-matrices, to vector-valued functional data. Multivariate functional data occur naturally and frequently in modern applications, and extending independent component analysis to this setting allows us to distill important information from this type of data, going a step further than the functional principal component analysis. To allow the inversion of the covariance operator we make the assumption that the dependency between the component functions lies in a finite-dimensional subspace. In this subspace we define fourth cross-cumulant operators and use them to construct the two novel, Fisher consistent methods for solving the independent component problem for vector-valued functions. Both simulations and an application on a hand gesture data set show the usefulness and advantages of the proposed methods over functional principal component analysis.

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Cited in

(11)

• Independent Component Analysis for Compositional Data
• On the usage of joint diagonalization in multivariate statistics
• Novel whitening approaches in functional settings
• Fourth moments and independent component analysis
• A global test for heteroscedastic one-way FMANOVA with applications
• Independent Component Analysis and Blind Signal Separation
• Independent component analysis for tensor-valued data
• Hierarchical independent component analysis: a multi-resolution non-orthogonal data-driven basis
• Characteristic-function-based independent component analysis
• Functional diffusion maps
• Robust functional principal component analysis for non-Gaussian longitudinal data

Describes a project that uses

Uses Software

• R
• MASS (R)
• fda (R)
• ggplot2
• JADE
• BSSasymp

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