Joint diagonalization of several scatter matrices for ICA

Authors:
Klaus Nordhausen;Harold W. Gutch;Hannu Oja;Fabian J. Theis
Affiliations:
University of Tampere, Finland;Max Planck Institute for Dynamics and Self-Organization, Germany;University of Tampere, Finland;Technical University Munich, Germany
Venue:
LVA/ICA'12 Proceedings of the 10th international conference on Latent Variable Analysis and Signal Separation
Year:
2012

Citing 3
Cited 1

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Abstract

Procedures such as FOBI that jointly diagonalize two matrices with the independence property have a long tradition in ICA. These procedures have well-known statistical properties, for example they are prone to failure if the sources have multiple identical values on the diagonal. In this paper we suggest to diagonalize jointly k≥2 scatter matrices having the independence property. For the joint diagonalization we suggest a novel algorithm which finds the correct direction in an deflation based manner, one after another. The method is demonstrated in a small simulation study.