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Joint diagonalization of several scatter matrices for ICA.

In: Proceedings (10th international conference on Latent Variable Analysis and Signal Separation). Heidelberg: Springer, 2012. 172-179 (Lecture Notes in Computer Science ; 7191)
as soon as is submitted to ZB.
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.
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Publication type Article: Conference contribution
Keywords ICA; scatter matrix; independence porperty; joint diagonalization
Reviewing status