In search of Non-Gaussian Components of a High-Dimensional Distribution
published: Feb. 25, 2007, recorded: February 2005, views: 4494
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
In high dimensional data analysis, finding non-Gaussian components is an important preprocessing step for efficient information processing. This article proposes a new linear method to identify the non- Gaussian subspace within a very general semi-parametric framework. Our proposed method NGCA (Non-Gaussian Component Analysis) is essentially based on the theoretical fact that, via an arbitrary nonlinear function, a vector which approximately belongs to the low dimensional non-Gaussian subspace can be constructed. Since different nonlinear functions yield different directions, one can obtain an approximate subspace from a set of different nonlinear functions. PCA is then applied to identify the non-Gaussian subspace. A numerical study demonstrates the usefulness of our method.
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !