Independent component analysis by wavelets

• Autores: Pascal Barbedor
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 18, Nº. 1, 2009, págs. 136-155
• Idioma: inglés
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• Resumen

  • This paper introduces a new approach in solving the ICA problem using a method that fits in the contrast and minimize paradigm, mostly found in the ICA literature. In our case, the contrast is a L 2 norm dependence measure, which constitutes an alternative to the usual criteria, based on mutual information. We propose a non parametric evaluation of the L 2 contrast, using a wavelet projection estimator. The mean square error of the procedure is bounded under Besov assumptions. Finally, we provide a set of simulations to show how the method performs in practice.