A1 Refereed original research article in a scientific journal
A method for sparse and robust independent component analysis
Authors: Heinonen, Lauri; Virta, Joni
Publisher: Elsevier BV
Publication year: 2026
Journal: Journal of Multivariate Analysis
Article number: 105587
Volume: 213
ISSN: 0047-259X
DOI: https://doi.org/10.1016/j.jmva.2025.105587
Publication's open availability at the time of reporting: Open 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 address: https://research.utu.fi/converis/portal/detail/Publication/506568128
Self-archived copy's licence: CC BY
Self-archived copy's version: Publisher`s PDF
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).