Independent Component Analysis Via Copula Techniques

SFB 649 Discussion Paper 2008-004

24 Pages Posted: 9 Jan 2017

See all articles by Ray-Bing Chen

Ray-Bing Chen

National Cheng Kung University

MH Guo

National Sun Yat-sen University

Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin; Charles University; National Yang Ming Chiao Tung University; Asian Competitiveness Institute

Shih-Feng Huan

National Sun Yat-sen University

Date Written: January 7, 2007

Abstract

Independent component analysis (ICA) is a modern factor analysis tool de- veloped in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then independent components are found by optimizing the copula parameters. Based on this idea, we propose the COPICA method for searching independent components. We illustrate this method using several blind source separation examples, which are mathematically equivalent to ICA problems. Finally performances of our method and FastICA are compared to explore the advantages of this method.

Keywords: Blind source separation, Canonical maximum likelihood method, Givens rotation matrix, Signal/noise ratio, Simulated annealing algorithm

JEL Classification: C01, C13, C14, C63

Suggested Citation

Chen, Ray-Bing and Guo, Meihui and Härdle, Wolfgang Karl and Huan, Shih-Feng, Independent Component Analysis Via Copula Techniques (January 7, 2007). SFB 649 Discussion Paper 2008-004, Available at SSRN: https://ssrn.com/abstract=2894312

Ray-Bing Chen

National Cheng Kung University

No.1, University Road
Tainan
Taiwan

Meihui Guo

National Sun Yat-sen University ( email )

70 Lien-hai Rd.
Kaohsiung, 80743
Taiwan

Wolfgang Karl Härdle (Contact Author)

Blockchain Research Center Humboldt-Universität zu Berlin ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

National Yang Ming Chiao Tung University ( email )

No. 1001, Daxue Rd. East Dist.
Hsinchu City 300093
Taiwan

Asian Competitiveness Institute ( email )

Singapore

Shih-Feng Huan

National Sun Yat-sen University

70 Lien-hai Rd.
Kaohsiung, 80743
Taiwan

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