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Robustness of Prewhitening Against Heavy-Tailed Sources

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Independent Component Analysis and Blind Signal Separation (ICA 2004)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 3195))

Abstract

Many ICA algorithms use prewhitening (second order decorrelation) as a preprocessing tool. This preprocessing can be shown to be valid when all hidden sources have fintie second moments, which is not required for the identifiability issue[9]. One would conjecture that if one or more sources do not have finite second moments then prewhitening would cause a breakdown. But we discover that this conjecture is not right. We provide some theories for this phenomenon as well as some simulation studies.

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Author information

Authors and Affiliations

  1. Department of Statistics, University of California, Berkeley, CA, 94720, USA

    Aiyou Chen & Peter J. Bickel

Authors
  1. Aiyou Chen
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  2. Peter J. Bickel
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Editor information

Editors and Affiliations

  1. Dept. of Architecture and Computer Technology, University of Granada, Spain

    Carlos G. Puntonet  & Alberto Prieto  & 

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© 2004 Springer-Verlag Berlin Heidelberg

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Chen, A., Bickel, P.J. (2004). Robustness of Prewhitening Against Heavy-Tailed Sources. In: Puntonet, C.G., Prieto, A. (eds) Independent Component Analysis and Blind Signal Separation. ICA 2004. Lecture Notes in Computer Science, vol 3195. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-30110-3_29

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  • DOI: https://doi.org/10.1007/978-3-540-30110-3_29

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-23056-4

  • Online ISBN: 978-3-540-30110-3

  • eBook Packages: Springer Book Archive

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