IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb649/sfb649dp2011-080.html
   My bibliography  Save this paper

Sparse non Gaussian component analysis by semidefinite programming

Author

Listed:
  • Diederichs, Elmar
  • Juditsky, Anatoli
  • Nemirovski, Arkadi
  • Spokoiny, Vladimir

Abstract

Sparse non-Gaussian component analysis (SNGCA) is an unsupervised method of extracting a linear structure from a high dimensional data based on estimating a low-dimensional non-Gaussian data component. In this paper we discuss a new approach to direct estimation of the projector on the target space based on semidefinite programming which improves the method sensitivity to a broad variety of deviations from normality. We also discuss the procedures which allows to recover the structure when its effective dimension is unknown.

Suggested Citation

  • Diederichs, Elmar & Juditsky, Anatoli & Nemirovski, Arkadi & Spokoiny, Vladimir, 2011. "Sparse non Gaussian component analysis by semidefinite programming," SFB 649 Discussion Papers 2011-080, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2011-080
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/56657/1/675477107.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Blanchard, Gilles & Kawanabe, Motoaki & Sugiyama, Masashi & Spokoiny, Vladimir & Müller, Klaus-Robert, 2006. "In search of non-Gaussian components of a high-dimensional distribution," SFB 649 Discussion Papers 2006-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:hum:wpaper:sfb649dp2011-083 is not listed on IDEAS
    2. Horst, Ulrich & Kupper, Michael & Macrina, Andrea & Mainberger, Christoph, 2011. "Continuous equilibrium under base preferences and attainable initial endowments," SFB 649 Discussion Papers 2011-082, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. repec:hum:wpaper:sfb649dp2011-082 is not listed on IDEAS
    4. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. repec:hum:wpaper:sfb649dp2011-085 is not listed on IDEAS
    6. Fiocco, Raffaele, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers 2011-084, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. repec:hum:wpaper:sfb649dp2011-084 is not listed on IDEAS
    8. Myšičková, Alena & Song, Song & Majer, Piotr & Mohr, Peter N. C. & Heekeren, Hauke R. & Härdle, Wolfgang Karl, 2011. "Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers 2011-085, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:hum:wpaper:sfb649dp2011-080 is not listed on IDEAS
    2. Gutch, Harold W. & Theis, Fabian J., 2012. "Uniqueness of linear factorizations into independent subspaces," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 48-62.

    More about this item

    Keywords

    dimension reduction; non-Gaussian components analysis; feature extraction;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb649:sfb649dp2011-080. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sohubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.