Compact CramÉr–Rao Bound Expression for Independent Component Analysis

Authors:
E. Ollila;Hyon-Jung Kim;V. Koivunen
Affiliations:
Helsinki Univ. of Technol., Helsinki;-;-
Venue:
IEEE Transactions on Signal Processing
Year:
2008

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Abstract

Despite of the increased interest in independent component analysis (ICA) during the past two decades, a simple closed form expression of the Cramer-Rao bound (CRB) for the demixing matrix estimation has not been established in the open literature. In the present paper we fill this gap by deriving a simple closed-form expression for the CRB of the demixing matrix directly from its definition. A simulation study comparing ICA estimators with the CRB is given.