Robustifying independent component analysis by adjusting for group-wise stationary noise

Niklas Pfister, Sebastian Weichwald, Peter Bühlmann, Bernhard Schölkopf

Research output: Contribution to journalJournal articleResearchpeer-review

11 Citations (Scopus)
46 Downloads (Pure)

Abstract

We introduce coroICA, confounding-robust independent component analysis, a novel ICA algorithm which decomposes linearly mixed multivariate observations into independent components that are corrupted (and rendered dependent) by hidden group-wise stationary confounding. It extends the ordinary ICA model in a theoretically sound and explicit way to incorporate group-wise (or environment-wise) confounding. We show that our proposed general noise model allows to perform ICA in settings where other noisy ICA procedures fail. Additionally, it can be used for applications with grouped data by adjusting for different stationary noise within each group. Our proposed noise model has a natural relation to causality and we explain how it can be applied in the context of causal inference. In addition to our theoretical framework, we provide an efficient estimation procedure and prove identifiability of the unmixing matrix under mild assumptions. Finally, we illustrate the performance and robustness of our method on simulated data, provide audible and visual examples, and demonstrate the applicability to real-world scenarios by experiments on publicly available Antarctic ice core data as well as two EEG data sets. We provide a scikit-learn compatible pip-installable Python package coroICA as well as R and Matlab implementations accompanied by a documentation at https://sweichwald.de/coroICA/.

Original languageEnglish
Article number147
JournalJournal of Machine Learning Research
Volume20
Number of pages50
ISSN1532-4435
Publication statusPublished - 2019

Keywords

  • Blind source separation
  • Causal inference
  • Confounding noise
  • Group analysis
  • Heterogeneous data
  • Independent component analysis
  • Non-stationary signal
  • Robustness

Cite this