A more efficient second order blind identification method for separation of uncorrelated stationary time series

Sara Taskinen, Jari Miettinen and Klaus Nordhausen

Statistics & Probability Letters, 2016, vol. 116, issue C, 21-26

Abstract: The classical second order source separation methods use approximate joint diagonalization of autocovariance matrices with several lags to estimate the unmixing matrix. Based on recent asymptotic results, we propose a novel unmixing matrix estimator which selects the best lag set from a finite set of candidate sets specified by the user. The theory is illustrated by a simulation study.

Keywords: Affine equivariance; Asymptotic normality; Joint diagonalization; Linear process; Minimum distance index; SOBI (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2016.04.007

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