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What is Learnable in Valiant's Theory of the Learnable? Learning Perturbations to Extrapolate Your LLM Byzantine-Robust Distributed Sparse Learning Revisited The Sample Complexity of Multiple Change Point Identification under Bandit Feedback A proximal gradient algorithm for composite log-concave sampling Model-based Bootstrap of Controlled Markov Chains Approximation of Maximally Monotone Operators : A Graph Convergence Perspective Posterior Contraction Rates for Sparse Kolmogorov-Arnold Networks in Anisotropic Besov Spaces MIST: Reliable Streaming Decision Trees for Online Class-Incremental Learning via McDiarmid Bound A Spectral Framework for Closed-Form Relative Density Estimation Fast Rates for Offline Contextual Bandits with Forward-KL Regularization under Single-Policy Concentrability Higher-Order Equilibrium Tracking for EM-Compressible Online Estimation Scaling Limits of Long-Context Transformers A Note on Non-Negative $L_1$-Approximating Polynomials Susceptibilities and Patterning: A Primer on Linear Response in Bayesian Learning Linear Response Estimators for Singular Statistical Models Statistical inference with belief functions: A survey Robust stochastic first order methods in heavy-tailed noise via medoid mini-batch gradient sampling Every Feedforward Neural Network Definable in an o-Minimal Structure Has Finite Sample Complexity Adaptive auditing of AI systems with anytime-valid guarantees Locally Near Optimal Piecewise Linear Regression in High Dimensions via Difference of Max-Affine Functions Risk-Controlled Post-Processing of Decision Policies Covariate Balancing and Riesz Regression Should Be Guided by the Neyman Orthogonal Score in Debiased Machine Learning A Unified Pair-GRPO Family: From Implicit to Explicit Preference Constraints for Stable and General RL Alignment Time-Inhomogeneous Preconditioned Langevin Dynamics A Fine-Grained Understanding of Uniform Convergence for Halfspaces CITE: Anytime-Valid Statistical Inference in LLM Self-Consistency Ratio-based Loss Functions Optimal Confidence Band for Kernel Gradient Flow Estimator A renormalization-group inspired lattice-based framework for piecewise generalized linear models
R-Estimation for Asymmetric Independent Component Analysis
Marc Hallin, Chintan Mehta · 2013-04-11 · via math.ST updates on arXiv.org

Independent Component Analysis (ICA) recently has attracted attention in the statistical literature as an alternative to elliptical models. Whereas k-dimensional elliptical densities depend on one single unspecified radial density, however, k-dimensional independent component distributions involve k unspecified component densities that for given sample size n and dimension k making statistical analysis harder. We focus here on estimating the model's mixing matrix. Traditional methods (FOBI, Kernel-ICA, FastICA) originating from the engineering literature have consistency that requires moment conditions without achieving any type of asymptotic efficiency. When based on robust scatter matrices, the two-scatter methods developed by Oja, et al. (2006) and Nordhausen, et al. (2008) enjoy better robustness features but have unclear optimality properties. The semiparametric approach by Chen and Bickel (2006) achieves semiparametric efficiency but requires estimating the k unobserved independent component densities. As a reaction, an efficient (signed-)rank-based approach has been proposed by Ilmonen and Paindaveine (2011) for the case of symmetric component densities that fail to be root-n consistent as soon as one of the component densities is asymmetric. In this paper, using ranks rather than signed ranks, we extend their approach to the asymmetric case and propose a one-step R-estimator for ICA mixing matrices. The finite-sample performances of those estimators are investigated and compared to those of existing methods under moderately large sample sizes. Particularly good performances are obtained when using data-driven scores taking into account the skewness and kurtosis of residuals. Finally, we show, by an empirical exercise, that our methods also may provide excellent results in a context such as image analysis, where the basic assumptions of ICA are quite unlikely to hold.