Dynamic components of linear stable mixtures from fractional low order moments
T. Fabricius, Preben Kidmose, Lars Kai Hansen · 2002
The second moment-based independent component analysis scheme of Molgedey and Schuster (1994) is generalized to fractional low-order moments, relevant for linear mixtures of heavy tail stable processes. The Molgedey-Schuster algorithm stands out by allowing explicitly construction of the independent components. Surprisingly, this turns out to be possible also for decorrelation based on fractional low-order moments.