Non-Gaussian component analysis: testing the dimension of the signal subspace

DOI10.1007/978-3-030-48814-7_6MaRDI QIDQ5141231zbMATH OpenOpenAlexWikidataFDO

Authors Una Radojičić, Klaus Nordhausen

Publication date 18 December 2020

Published in Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.02751

zbMATH Keywords

bootstrapindependent component analysisscatter matrixorder determinationsignal subspace

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35)

Abstract: Dimension reduction is a common strategy in multivariate data analysis which seeks a subspace which contains all interesting features needed for the subsequent analysis. Non-Gaussian component analysis attempts for this purpose to divide the data into a non-Gaussian part, the signal, and a Gaussian part, the noise. We will show that the simultaneous use of two scatter functionals can be used for this purpose and suggest a bootstrap test to test the dimension of the non-Gaussian subspace. Sequential application of the test can then for example be used to estimate the signal dimension.

Recommendations

• Independent Component Analysis and Blind Signal Separation
• In search of non-Gaussian components of a high-dimensional distribution
• Asymptotic and bootstrap tests for subspace dimension
• Independent Component Analysis and Blind Signal Separation
• Non-Gaussian component analysis using entropy methods

Cites work

• A cautionary note on robust covariance plug-in methods
• A new algorithm of non-Gaussian component analysis with radial kernel functions
• Fourth moments and independent component analysis
• ICS for multivariate outlier detection with application to quality control
• In search of non-Gaussian components of a high-dimensional distribution
• Invariant co-ordinate selection (with discussion)
• Linear Non-Gaussian Component Analysis Via Maximum Likelihood
• Multivariate models and the first four moments
• New algorithms for \(M\)-estimation of multivariate scatter and location
• On the computation of symmetrized M-estimators of scatter
• Optimization and testing in linear non‐Gaussian component analysis
• Principal component analysis.
• Projection pursuit
• Redescending \(M\)-estimates of multivariate location and scatter
• Robust Estimation of a Location Parameter
• Symmetrised M-estimators of multivariate scatter
• Uniqueness of Non-Gaussianity-Based Dimension Reduction
• What is Projection Pursuit?
• \(M\)-functionals of multivariate scatter

Cited in

(10)

• Asymptotic and bootstrap tests for subspace dimension
• On the usage of joint diagonalization in multivariate statistics
• Joint low-rank approximation for extracting non-Gaussian subspaces
• Numerical Considerations and a new implementation for invariant coordinate selection
• Independent Component Analysis and Blind Signal Separation
• Colored Subspace Analysis
• Independent Component Analysis and Blind Signal Separation
• Non-Gaussian component analysis using entropy methods
• In search of non-Gaussian components of a high-dimensional distribution
• Independent Component Analysis and Blind Signal Separation

Describes a project that uses

Uses Software

• R
• ICS
• SpatialNP
• JADE
• BSSasymp
• extraDistr
• png
• REPPlab
• ICSOutlier
• ICtest
• RcppRoll

This page was built for publication: Non-Gaussian component analysis: testing the dimension of the signal subspace

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5141231)