Sparse Non-Gaussian Component Analysis

DOI10.1109/TIT.2010.2046229MaRDI QIDQ5281476zbMATH OpenOpenAlexFDO

Authors Elmar Diederichs, Christof Schütte, Anatoli Juditsky, V. G. Spokoiny

Publication date 27 July 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.0430

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Abstract: Non-gaussian component analysis (NGCA) introduced in offered a method for high dimensional data analysis allowing for identifying a low-dimensional non-Gaussian component of the whole distribution in an iterative and structure adaptive way. An important step of the NGCA procedure is identification of the non-Gaussian subspace using Principle Component Analysis (PCA) method. This article proposes a new approach to NGCA called sparse NGCA which replaces the PCA-based procedure with a new the algorithm we refer to as convex projection.

Cited in

(3)

• Bayesian Orthogonal Component Analysis for Sparse Representation
• A one-sample test for normality with kernel methods
• An Iterative Bayesian Algorithm for Sparse Component Analysis in Presence of Noise

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