Asymptotic and Bootstrap Tests for the Dimension of the Non-Gaussian Subspace

: Nordhausen K, Oja H, Tyler DE, Virta J

Publisher: IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC

: 2017

: IEEE Signal Processing Letters

: IEEE SIGNAL PROCESSING LETTERS

: IEEE SIGNAL PROC LET

: 24

: 6

: 887

: 891

: 5

: 1070-9908

: 1558-2361

DOI: https://doi.org/10.1109/LSP.2017.2696880(external)

: https://arxiv.org/abs/1701.06836(external)

Dimension reduction is often a preliminary step in the analysis of large data sets. The so-called non-Gaussian component analysis searches for a projection onto the non-Gaussian part of the data, and it is then important to know the correct dimension of the non-Gaussian signal subspace. In this letter, we develop asymptotic as well as bootstrap tests for the dimension based on the popular fourth-order blind identification method.