A1 Refereed original research article in a scientific journal

A method for sparse and robust independent component analysis




AuthorsHeinonen, Lauri; Virta, Joni

PublisherElsevier BV

Publication year2026

Journal: Journal of Multivariate Analysis

Article number105587

Volume213

ISSN0047-259X

DOIhttps://doi.org/10.1016/j.jmva.2025.105587

Publication's open availability at the time of reportingOpen Access

Publication channel's open availability Partially Open Access publication channel

Web address https://doi.org/10.1016/j.jmva.2025.105587

Self-archived copy’s web addresshttps://research.utu.fi/converis/portal/detail/Publication/506568128

Self-archived copy's licenceCC BY

Self-archived copy's versionPublisher`s PDF


Abstract

This work presents sparse invariant coordinate selection, SICS, a new method for sparse and robust independent component analysis. SICS is based on classical invariant coordinate selection, which is presented in such a form that a LASSO-type penalty can be applied to promote sparsity. Robustness is achieved by using robust scatter matrices. In the first part of the paper, the background and building blocks: scatter matrices, measures of robustness, ICS and independent component analysis, are carefully introduced. Then the proposed new method and its algorithm are derived and presented. This part also includes consistency and breakdown point results for a general case of sparse ICS-like methods. The performance of SICS in identifying sparse independent component loadings is investigated with multiple simulations. The method is illustrated with an example in constructing sparse causal graphs and we also propose a graphical tool for selecting the appropriate sparsity level in SICS.


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Funding information in the publication
The work of LH and JV was supported by the Research Council of Finland (grants 347501, 353769, 368494).


Last updated on 20/01/2026 09:20:26 AM