Simultaneous Estimation of Nongaussian Components and Their Correlation Structure

Abstract

The statistical dependencies that independent component analysis (ICA) cannot remove often provide rich information beyond the linear independent components. It would thus be very useful to estimate the dependency structure from data. While such models have been proposed, they have usually concentrated on higher-order correlations such as energy (square) correlations. Yet linear correlations are a fundamental and informative form of dependency in many real data sets. Linear correlations are usually completely removed by ICA and related methods so they can only be analyzed by developing new methods that explicitly allow for linearly correlated components. In this article, we propose a probabilistic model of linear nongaussian components that are allowed to have both linear and energy correlations. The precision matrix of the linear components is assumed to be randomly generated by a higher-order process and explicitly parameterized by a parameter matrix. The estimation of the parameter matrix is shown to be particularly simple because using scorematching (Hyvärinen, 2005), the objective function is a quadratic form. Using simulations with artificial data, we demonstrate that the proposed method improves the identifiability of nongaussian components by