Sampling properties of color Independent Component Analysis

Seonjoo Lee, Haipeng Shen and Young Truong

Journal of Multivariate Analysis, 2021, vol. 181, issue C

Abstract: Independent Component Analysis (ICA) offers an effective data-driven approach for blind source extraction encountered in many signal and image processing problems. Although many ICA methods have been developed, they have received relatively little attention in the statistics literature, especially in terms of rigorous theoretical investigation for statistical inference. The current paper aims at narrowing this gap and investigates the statistical sampling properties of the colorICA (cICA) method. The cICA incorporates the correlation structure within sources through parametric time series models in the frequency domain and outperforms several existing ICA alternatives numerically. We establish the consistency and asymptotic normality of the cICA estimates, which then enables statistical inference based on the estimates. These asymptotic properties are further validated using simulation studies.

Keywords: Blind source separation; Multivariate analysis; Spectral density estimation; Time series; Whittle likelihood (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jmva.2020.104692

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