Abstract
Blind source separation (BSS) is an important analysis tool in various signal processing applications like image, speech or medical signal analysis. The most popular BSS solutions have been developed for independent component analysis (ICA) with identically and independently distributed (iid) observation vectors. In many BSS applications the assumption on iid observations is not realistic, however, as the data are often an observed time series with temporal correlation and even nonstationarity. In this paper, some BSS methods for time series with nonstationary variances are discussed. We also suggest ways to robustify these methods and illustrate their performance in a simulation study.
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Nordhausen, K. On robustifying some second order blind source separation methods for nonstationary time series. Stat Papers 55, 141–156 (2014). https://doi.org/10.1007/s00362-012-0487-5
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DOI: https://doi.org/10.1007/s00362-012-0487-5