Uniqueness of linear factorizations into independent subspaces

  • Authors:
  • Harold W. Gutch;Fabian J. Theis

  • Affiliations:
  • Max Planck Institute for Dynamics and Self-Organization (MPIDS), 37077 Goettingen, Germany and Technical University of Munich, Arcisstrasse 21, 80333 München, Germany;CMB, Institute of Bioinformatics and Systems Biology, German Research Center for Environmental Health, 85764 Neuherberg, Germany and Technical University of Munich, Arcisstrasse 21, 80333 Mün ...

  • Venue:
  • Journal of Multivariate Analysis
  • Year:
  • 2012

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Abstract

Given a random vector X, we address the question of linear separability of X, that is, the task of finding a linear operator W such that we have (S"1,...,S"M)=(WX) with statistically independent random vectors S"i. As this requirement alone is already fulfilled trivially by X being independent of the empty rest, we require that the components be not further decomposable. We show that if X has finite covariance, such a representation is unique up to trivial indeterminacies. We propose an algorithm based on this proof and demonstrate its applicability. Related algorithms, however with fixed dimensionality of the subspaces, have already been successfully employed in biomedical applications, such as separation of fMRI recorded data. Based on the presented uniqueness result, it is now clear that also subspace dimensions can be determined in a unique and therefore meaningful fashion, which shows the advantages of independent subspace analysis in contrast to methods like principal component analysis.