Supplement to "Consistent Independent Component Analysis and Prewhitening"

Supplement to "Consistent Independent Component Analysis and Prewhitening"

Report Number
656
Authors
A. Chen and P.J. Bickel
Abstract

In this paper we study the statistical properties of a characteristic-function based algorithm for independent component analysis (ICA), which was proposed by Eriksson et. al. (2003) and Chen \& Bickel (2003) independently. First, statistical consistency of this algorithm with prewhitening is analyzed, especially in existence of heavy-tailed sources. Second, without prewhitening this algorithm is shown to be robust against small additive noise.

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