COPICA—independent component analysis via copula techniques
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- Chen, RB., Guo, M., Härdle, W.K. et al. Stat Comput (2015) 25: 273. doi:10.1007/s11222-013-9431-3
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Independent component analysis (ICA) is a modern computational method developed in the last two decades. The main goal of ICA is to recover the original independent variables by linear transformations of the observations. In this study, a copula-based method, called COPICA, is proposed to solve the ICA problem. The proposed COPICA method is a semiparametric approach, the marginals are estimated by nonparametric empirical distributions and the joint distributions are modeled by parametric copula functions. The COPICA method utilizes the estimated copula parameter as a dependence measure to search the optimal rotation matrix that achieves the ICA goal. Both simulation and empirical studies are performed to compare the COPICA method with the state-of-art methods of ICA. The results indicate that the COPICA attains higher signal-to-noise ratio (SNR) than several other ICA methods in recovering signals. In particular, the COPICA usually leads to higher SNRs than FastICA for near-Gaussian-tailed sources and is competitive with a nonparametric ICA method for two dimensional sources. For higher dimensional ICA problem, the advantage of using the COPICA is its less storage and less computational effort.