Non-Gaussian Component Analysis: Testing the Dimension of the Signal Subspace
Non-Gaussian Component Analysis: Testing the Dimension of the Signal Subspace
Dimension reduction is a common strategy in multivariate data analysis which seeks a subspace which contains all interesting features needed for the subsequent analysis. Non-Gaussian component analysis attempts for this purpose to divide the data into a non-Gaussian part, the signal, and a Gaussian part, the noise. We will show …