Independent Component Analysis on Spectral Domain

Independent component analysis (ICA) is an effective data-driven method for blind source separation. It has been successfully applied to separate source signals of interest from their mixtures. Most existing ICA procedures are carried out by relying solely on the estimation of the marginal density functions, either parametrically or nonparametrically. In many applications, correlation structures within each source also play an important role besides the marginal distributions. One important example is functional magnetic resonance imaging (fMRI) analysis where the brain-function-related signals are temporally correlated.;In this thesis, we propose two novel ICA algorithms that fully exploit the correlation structures within the source signals through spectral density estimation. Our methodology development is two-fold: (1) ICA for auto-correlated sources via parametric spectral density estimation (cICA-YW); (2) ICA for sources with mixed spectra via nonparametric spectral density estimation and atom detection (cICA-LSP).;The cICA-YW focuses on the sources with autocorrelation and is implemented using spectral density functions from frequently used time series models such as autoregressive moving average (ARMA) processes. The time series parameters and the mixing matrix are estimated via maximizing the Whittle likelihood function. We illustrate the performance of the proposed method through extensive simulation studies and a real fMRI application. The numerical results indicate that our approach outperforms several popular methods including the most widely used fastICA algorithm. We also establish the sampling properties of the proposed method.;For the cICA-LSP, we consider the case of sources with possibly mixed specta, where ARMA estimates are often unstable. Specifically, we propose to estimate the spectral density functions and the line spectra of the source signals using cubic splines and indicator functions, respectively. The mixed spectra and the mixing matrix are estimated via maximizing the Whittle likelihood function. We illustrate the performance of the proposed method through extensive simulation studies.