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.

Blind Source Separation for Compositional Time Series

Many geological phenomena are regularly measured over time to follow developments and changes. For many of these phenomena, the absolute values are not of interest, but rather the relative information, which means that the data are compositional time series. Thus, the serial nature and the compositional geometry should be considered when analyzing the data. Multivariate time series are already challenging, especially if they are higher dimensional, and latent variable models are a popular way to deal with this kind of data. Blind source separation techniques are well-established latent factor models for time series, with many variants covering quite different time series models. Here, several such methods and their assumptions are reviewed, and it is shown how they can be applied to high-dimensional compositional time series. Also, a novel blind source separation method is suggested which is quite flexible regarding the assumptions of the latent time series. The methodology is illustrated using simulations and in an application to light absorbance data from water samples taken from a small stream in Lower Austria.

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.