KAUST DepartmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Spatio-Temporal Statistics and Data Analysis Group
Embargo End Date2021-01-15
Permanent link to this recordhttp://hdl.handle.net/10754/661052
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AbstractRecently a blind source separation model was suggested for spatial data together with an estimator based on the simultaneous diagonalisation of two scatter matrices. The asymptotic properties of this estimator are derived here and a new estimator, based on the joint diagonalisation of more than two scatter matrices, is proposed. The asymptotic properties and merits of the novel estimator are verified in simulation studies. A real data example illustrates the method.
SponsorsThe work of Nordhausen, Ruiz-Gazen and Virta was partly supported by the CRoNoS Cost action. The work of Nordhausen was also partly supported by the Austrian Science Fund. RuizGazen acknowledges funding from the French National Research Agency (ANR) under the Investments for the Future (Investissements d’Avenir) program. The authors are very grateful for the comments by the referees which helped considerably to improve the manuscript.
PublisherOxford University Press (OUP)