Sparse Non-Gaussian Component Analysis

DOI10.1109/TIT.2010.2046229zbMATH Open1366.62116arXiv0904.0430OpenAlexW2158759747MaRDI QIDQ5281476FDOQ5281476

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)

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.

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)

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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