Blind source separation over space: an eigenanalysis approach

Bo Zhang, Sixing Hao and Qiwei Yao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We propose a new estimation method for the blind source separation model of Bachoc et al. (2020). The new estimation is based on an eigenanalysis of a positive definite matrix defined in terms of multiple normalized spatial local covariance matrices, and, therefore, can handle moderately high-dimensional random fields. The consistency of the estimated mixing matrix is established with explicit error rates even when the eigen-gap decays to zero slowly. The proposed method is illustrated via both simulation and a real data example.

Keywords: Eigen-analysis; Eigen-gap; high-dimensional random field; mixing matrix; normalized spatial local covariance matrix. (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2023-11-26
New Economics Papers: this item is included in nep-ure
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Published in Statistica Sinica, 26, November, 2023, 36(1). ISSN: 1017-0405

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