The MSE reconstruction criterion for independent component ordering in ICA time series analysis
Refereed conference paper presented and published in conference proceedings

香港中文大學研究人員

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摘要It has been shown that the dominant independent components obtained by independent component analysis (ICA) can reveal more underlying structure of the series than principal component analysis (Back and Weigend 1997). To find those dominant components, all the independent components are listed in an appropriate order and then a subset of components is selected according to the order. In Back and Weigend (1997), the order is determined based on the L-infinity norm of each individual component without considering their interactive contribution to the observed time series. In this paper, we propose to order the components according to their contribution in the mean square error (MSE) between the observed time series and the reconstruction from these components, which leads to a typical combinational optimization problem. To avoid exhaustive search, we use an sub-optimum algorithm called Testing-and-Acceptance (TnA) to find the order. Experiments on foreign exchange rates have shown that the TnA approach outperforms the L-infinity norm method.
著者Cheung KM, Xu L
會議名稱IEEE-EURASIP Workshop on Nonlinear Signal and Image Prcessing (NSIP 99)
會議開始日20.06.1999
會議完結日23.06.1999
會議地點ANTALYA
會議國家/地區土耳其
出版年份1999
月份1
日期1
出版社BOGAZICI UNIVERSITY BEBEK
頁次793 - 797
國際標準書號975-518-133-4
語言英式英語
Web of Science 學科類別Computer Science; Computer Science, Artificial Intelligence; Engineering; Engineering, Electrical & Electronic; Imaging Science & Photographic Technology

上次更新時間 2021-18-02 於 01:50