Delayed AMUSE – A Tool for Blind Source Separation and Denoising

Abstract

Abstract. In this work we propose a generalized eigendecomposition (GEVD) of a matrix pencil computed after embedding the data into a high-dim feature space of delayed coordinates. The matrix pencil is computed like in AMUSE but in the feature space of delayed coordinates. Its GEVD yields filtered versions of the source signals as output signals. The algorithm is implemented in two EVD steps. Numerical simulations study the influence of the number of delays and the noise level on the performance.