2008-01-07Buch DOI: 10.18452/4095
Independent Component Analysis Via Copula Techniques
Independent component analysis (ICA) is a modern factor analysis tool de- veloped in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then independent components are found by optimizing the copula parameters. Based on this idea, we propose the COPICA method for searching independent components. We illustrate this method using several blind source separation examples, which are mathematically equivalent to ICA problems. Finally performances of our method and FastICA are compared to explore the advantages of this method.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 4, SFB 649 Papers, ISSN:1860-5664