Projection Pursuit for non-Gaussian Independent Components

Abstract: In independent component analysis it is assumed that the observed random variables are linear combinations of latent, mutually independent random variables called the independent components. Our model further assumes that only the non-Gaussian independent components are of interest, the Gaussian components being treated as noise. In this paper projection pursuit is used to extract the non-Gaussian components and to separate the corresponding signal and noise subspaces. Our choice for the projection index is a convex combination of squared third and fourth cumulants and we estimate the non-Gaussian components either one-by-one (deflation-based approach) or simultaneously (symmetric approach). The properties of both estimates are considered in detail through the corresponding optimization problems, estimating equations, algorithms and asymptotic properties. Various comparisons of the estimates show that the two approaches separate the signal and noise subspaces equally well but the symmetric one is generally better in extracting the individual non-Gaussian components.