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Published in:
2010 | OriginalPaper | Chapter
Second and Higher-Order Correlation Analysis of Multiple Multidimensional Variables by Joint Diagonalization
Authors : Xi-Lin Li, Matthew Anderson, Tülay Adalı
Published in: Latent Variable Analysis and Signal Separation
Publisher: Springer Berlin Heidelberg
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In this paper, we introduce two efficient methods for second and higher-order correlation, or linear and nonlinear dependence, analysis of several multidimensional variables. We show that both the second and higher-order correlation analysis can be cast into a specific joint diagonalization problem. Compared with existing multiset canonical correlation analysis (MCCA) and independent vector analysis (IVA) algorithms, desired features of the new methods are that they can exploit the nonwhiteness of observations, they do not assume a specific density model, and they use simultaneous separation and thus are free of error accumulation arising in deflationary separation. Simulation results are presented to show the performance gain of the new methods over MCCA and IVA approaches.