arXivDaily arXiv每日学术速递 周一至周五更新
重置
stat.TH统计理论1
2502.04046 2026-06-11 stat.ME math.ST stat.TH

A method for sparse and robust independent component analysis

Lauri Heinonen, Joni Virta

详情
Journal ref
Journal of Multivariate Analysis, 213, 105587 (2026)
Comments
27 pages, 9 figures
英文摘要

This work presents sparse invariant coordinate selection, SICS, a new method for sparse and robust independent component analysis. SICS is based on classical invariant coordinate selection, which is presented in such a form that a LASSO-type penalty can be applied to promote sparsity. Robustness is achieved by using robust scatter matrices. In the first part of the paper, the background and building blocks: scatter matrices, measures of robustness, ICS and independent component analysis, are carefully introduced. Then the proposed new method and its algorithm are derived and presented. This part also includes consistency and breakdown point results for a general case of sparse ICS-like methods. The performance of SICS in identifying sparse independent component loadings is investigated with multiple simulations. The method is illustrated with an example in constructing sparse causal graphs and we also propose a graphical tool for selecting the appropriate sparsity level in SICS.