Scatter Matrices and Independent Component Analysis

Hannu Oja, Seija Sirkiä, Jan Eriksson
2016 Austrian Journal of Statistics  
In the independent component analysis (ICA) it is assumed that the components of the multivariate independent and identically distributed observations are linear transformations of latent independent components. The problem then is to find the (linear) transformation which transforms the observations back to independent components. In the paper the ICA is discussed and it is shown that, under some mild assumptions, two scatter matrices may be used together to find the independent components.
more » ... scatter matrices must then have the so called independence property. The theory is illustrated by examples.
doi:10.17713/ajs.v35i2&3.364 doaj:290bf4dbbf274acd8fea2e024a1ab9a5 fatcat:vuyum4lqoja2nirj55q7u2icl4