A review of second‐order blind identification methods
Pan, Y., Matilainen, M., Taskinen, S., & Nordhausen, K. (2022). A review of second‐order blind identification methods. WIREs Computational Statistics, 14(4), Article e1550. https://doi.org/10.1002/wics.1550
Published inWIREs Computational Statistics
© 2021 The Authors. WIREs Computational Statistics published by Wiley Periodicals LLC
Second order source separation (SOS) is a data analysis tool which can be used for revealing hidden structures in multivariate time series data or as a tool for dimension reduction. Such methods are nowadays increasingly important as more and more high-dimensional multivariate time series data are measured in numerous fields of applied science. Dimension reduction is crucial, as modelling such high-dimensional data with multivariate time series models is often impractical as the number of parameters describing dependencies between the component time series is usually too high. SOS methods have their roots in the signal processing literature, where they were first used to separate source signals from an observed signal mixture. The SOS model assumes that the observed time series (signals) is a linear mixture of latent time series (sources) with uncorrelated components. The methods make use of the second order statistics - hence the name “second order source separation”. In this review we discuss the classical SOS methods and their extensions to more complex settings. An example illustrates how SOS can be performed. ...
PublisherJohn Wiley & Sons
Publication in research information system
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Additional information about fundingThe work of KN was supported by the Austrian Science Fund P31881-N32.
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Voutilainen, Miikka (University of Jyväskylä, 2016)