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Published in:
2012 | OriginalPaper | Chapter
Joint Diagonalization of Several Scatter Matrices for ICA
Authors : Klaus Nordhausen, Harold W. Gutch, Hannu Oja, Fabian J. Theis
Published in: Latent Variable Analysis and Signal Separation
Publisher: Springer Berlin Heidelberg
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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.