R-estimation for asymmetric independent component analysis
From MaRDI portal
Publication:5367359
DOI10.1080/01621459.2014.909316zbMATH Open1381.62145arXiv1304.3073OpenAlexW2262007469MaRDI QIDQ5367359FDOQ5367359
Publication date: 13 October 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: Independent Component Analysis (ICA) recently has attracted attention in the statistical literature as an alternative to elliptical models. Whereas k-dimensional elliptical densities depend on one single unspecified radial density, however, k-dimensional independent component distributions involve k unspecified component densities that for given sample size n and dimension k making statistical analysis harder. We focus here on estimating the model's mixing matrix. Traditional methods (FOBI, Kernel-ICA, FastICA) originating from the engineering literature have consistency that requires moment conditions without achieving any type of asymptotic efficiency. When based on robust scatter matrices, the two-scatter methods developed by Oja, et al. (2006) and Nordhausen, et al. (2008) enjoy better robustness features but have unclear optimality properties. The semiparametric approach by Chen and Bickel (2006) achieves semiparametric efficiency but requires estimating the k unobserved independent component densities. As a reaction, an efficient (signed-)rank-based approach has been proposed by Ilmonen and Paindaveine (2011) for the case of symmetric component densities that fail to be root-n consistent as soon as one of the component densities is asymmetric. In this paper, using ranks rather than signed ranks, we extend their approach to the asymmetric case and propose a one-step R-estimator for ICA mixing matrices. The finite-sample performances of those estimators are investigated and compared to those of existing methods under moderately large sample sizes. Particularly good performances are obtained when using data-driven scores taking into account the skewness and kurtosis of residuals. Finally, we show, by an empirical exercise, that our methods also may provide excellent results in a context such as image analysis, where the basic assumptions of ICA are quite unlikely to hold.
Full work available at URL: https://arxiv.org/abs/1304.3073
Recommendations
- Efficient independent component analysis
- Semiparametrically efficient inference based on signed ranks in symmetric independent component models
- Independent component analysis via nonparametric maximum likelihood estimation
- Fourth moments and independent component analysis
- Symmetrised M-estimators of multivariate scatter
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Factor analysis and principal components; correspondence analysis (62H25)
Cited In (15)
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Fourth moments and independent component analysis
- Optimal pseudo-Gaussian and rank-based random coefficient detection in multiple regression
- A class of optimization problems motivated by rank estimators in robust regression
- Investigation on the skewness for independent component analysis
- Sampling properties of color independent component analysis
- Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
- Distributional independent component analysis for diverse neuroimaging modalities
- Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
- Separation of uncorrelated stationary time series using autocovariance matrices
- Efficient pseudo-Gaussian and rank-based detection of random regression coefficients
- Identification and estimation of non-Gaussian structural vector autoregressions
- R-estimation in semiparametric dynamic location-scale models
- A simple R-estimation method for semiparametric duration models
- Independent component analysis: a statistical perspective
This page was built for publication: \(R\)-estimation for asymmetric independent component analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5367359)
