A method for sparse and robust independent component analysis




Heinonen, Lauri; Virta, Joni

PublisherElsevier BV

2026

 Journal of Multivariate Analysis

105587

213

0047-259X

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

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

https://research.utu.fi/converis/portal/detail/Publication/506568128



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.


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