Fourth Moments and Independent Component Analysis
Miettinen, J., Taskinen, S., Nordhausen, K., & Oja, H. (2015). Fourth Moments and Independent Component Analysis. Statistical science, 30(3), 372-390. https://doi.org/10.1214/15-STS520
Published inStatistical science
© Institute of Mathematical Statistics, 2015. Published in this repository with the kind permission of the publisher.
In independent component analysis it is assumed that the components of the observed random vector are linear combinations of latent independent random variables, and the aim is then to find an estimate for a transformation matrix back to these independent components. In the engineering literature, there are several traditional estimation procedures based on the use of fourth moments, such as FOBI (fourth order blind identification), JADE (joint approximate diagonalization of eigenmatrices), and FastICA, but the statistical properties of these estimates are not well known. In this paper various independent component functionals based on the fourth moments are discussed in detail, starting with the corresponding optimization problems, deriving the estimating equations and estimation algorithms, and finding asymptotic statistical properties of the estimates. Comparisons of the asymptotic variances of the estimates in wide independent component models show that in most cases JADE and the symmetric version of FastICA perform better than their competitors. ...
PublisherInstitute of Mathematical Statistics
ISSN Search the Publication Forum0883-4237
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