A more efficient second order blind identification method for separation of uncorrelated stationary time series

Blind recovery of sources for multivariate space-time random fields

With advances in modern worlds technology, huge datasets that show dependencies in space as well as in time occur frequently in practice. As an example, several monitoring stations at different geographical locations track hourly concentration measurements of a number of air pollutants for several years. Such a dataset contains thousands of multivariate observations, thus, proper statistical analysis needs to account for dependencies in space and time between and among the different monitored variables. To simplify the consequent multivariate spatio-temporal statistical analysis it might be of interest to detect linear transformations of the original observations that result in straightforward interpretative, spatio-temporally uncorrelated processes that are also highly likely to have a real physical meaning. Blind source separation (BSS) represents a statistical methodology which has the aim to recover so-called latent processes, that exactly meet the former requirements. BSS was already successfully used in sole temporal and sole spatial applications with great success, but, it was not yet introduced for the spatio-temporal case. In this contribution, a reasonable and innovative generalization of BSS for multivariate space-time random fields (stBSS), under second-order stationarity, is proposed, together with two space-time extensions of the well-known algorithms for multiple unknown signals extraction (stAMUSE) and the second-order blind identification (stSOBI) which solve the formulated problem. Furthermore, symmetry and separability properties of the model are elaborated and connections to the space-time linear model of coregionalization and to the classical principal component analysis are drawn. Finally, the usefulness of the new methods is shown in a thorough simulation study and on a real environmental application.

EEG artifact removal using sub-space decomposition, nonlinear dynamics, stationary wavelet transform and machine learning algorithms

Blind source separation (BSS) methods have received a great deal of attention in electroencephalogram (EEG) artifact elimination as they are routine and standard signal processing tools to remove artifacts and reserve desired neural information. On the other hand, a classifier should follow BSS methods to automatically identify artifactual sources and remove them in the following steps. In addition, removing all detected artifactual components leads to loss of information since some desired information related to neural activity leaks to these sources. So, an approach should be employed to detect and suppress the artifacts and reserve neural activity. This study introduces a novel method based on EEG and Poincare planes in the phase space to detect artifactual components estimated by second-order blind identification (SOBI). Artifacts are detected using a mixture of well-known conventional classifiers and were removed employing stationary wavelet transform (SWT) to reserve neural information. The proposed method is a combination of signal processing techniques and machine learning algorithms, including multi-layer perceptron (MLP), K-nearest neighbor (KNN), naïve Bayes, and support vector machine (SVM) which have significant results while applying our proposed method to different scenarios. Simulated, semi-simulated, and real EEG signals are employed to evaluate the proposed method, and several evaluation criteria are calculated. We achieved acceptable results, for example, 98% average accuracy and 97% average sensitivity in artifactual EEG component detection or about 2% as mean square error in EEG reconstruction after artifact removal. Results showed that the proposed method is effective and can be used in future studies as we have considered different real-world scenarios to evaluate it.

A review of second-order blind identification methods

Second-order source separation (SOS) is a data analysis tool which can be used for revealing hidden structures in multivariate time series data or as a tool for dimension reduction. Such methods are nowadays increasingly important as more and more high-dimensional multivariate time series data are measured in numerous fields of applied science. Dimension reduction is crucial, as modeling such high-dimensional data with multivariate time series models is often impractical as the number of parameters describing dependencies between the component time series is usually too high. SOS methods have their roots in the signal processing literature, where they were first used to separate source signals from an observed signal mixture. The SOS model assumes that the observed time series (signals) is a linear mixture of latent time series (sources) with uncorrelated components. The methods make use of the second-order statistics-hence the name "second-order source separation." In this review, we discuss the classical SOS methods and their extensions to more complex settings. An example illustrates how SOS can be performed. This article is categorized under:Statistical Models > Time Series ModelsStatistical and Graphical Methods of Data Analysis > Dimension ReductionData: Types and Structure > Time Series, Stochastic Processes, and Functional Data.

Extracting Conditionally Heteroskedastic Components using Independent Component Analysis

In the independent component model, the multivariate data are assumed to be a mixture of mutually independent latent components. The independent component analysis (ICA) then aims at estimating these latent components. In this article, we study an ICA method which combines the use of linear and quadratic autocorrelations to enable efficient estimation of various kinds of stationary time series. Statistical properties of the estimator are studied by finding its limiting distribution under general conditions, and the asymptotic variances are derived in the case of ARMA-GARCH model. We use the asymptotic results and a finite sample simulation study to compare different choices of a weight coefficient. As it is often of interest to identify all those components which exhibit stochastic volatility features we suggest a test statistic for this problem. We also show that a slightly modified version of the principal volatility component analysis can be seen as an ICA method. Finally, we apply the estimators in analysing a data set which consists of time series of exchange rates of seven currencies to US dollar. Supporting information including proofs of the theorems is available online.

Spatial blind source separation

Recently a blind source separation model was suggested for spatial data, along with an estimator based on the simultaneous diagonalization of two scatter matrices. The asymptotic properties of this estimator are derived here, and a new estimator based on the joint diagonalization of more than two scatter matrices is proposed. The asymptotic properties and merits of the novel estimator are verified in simulation studies. A real-data example illustrates application of the method.