ICA and ISA Using Schweizer-Wolff Measure of Dependence

author: Sergey Kirshner, Department of Computing Science, University of Alberta
published: Aug. 7, 2008,   recorded: July 2008,   views: 4224


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We propose a new algorithm for independent component and independent subspace analysis problems. This algorithm uses a contrast based on the Schweizer-Wolff measure of pairwise dependence, a non-parametric measure based on pairwise ranks of the variables. Our algorithm frequently outperforms state of the art ICA methods in the normal setting, is significantly more robust to outliers in the mixed signals, and performs well even in the presence of noise. Since pairwise dependence is evaluated explicitly, using Cardoso's conjecture, our method can be applied to solve independence subspace analysis (ISA) problems by grouping signals recovered by ICA methods. We provide an extensive empirical evaluation using simulated, sound, and image data.

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