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Uniqueness of non-Gaussianity-based dimension reduction.
IEEE Trans. Signal Process. 59, 4478 - 4482 (2011)
Dimension reduction is a key step in preprocessing large-scale data sets. A recently proposed method named non-Gaussian component analysis searches for a projection onto the non-Gaussian part of a given multivariate recording, which is a generalization of the deflationary projection pursuit model. In this contribution, we discuss the uniqueness of the subspaces of such a projection. We prove that a necessary and sufficient condition for uniqueness is that the non-Gaussian signal subspace is of minimal dimension. Furthermore, we propose a measure for estimating this minimal dimension and illustrate it by numerical simulations. Our result guarantees that projection algorithms uniquely recover the underlying lower dimensional data signals.
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Publication type Article: Journal article
Document type Scientific Article
Keywords Identifiability; Independent subspace analysis; non-Gaussian component analysis; projection pursuit