Blind Source Separation over Space: An Eigenanalysis Approach
Bo Zhang, Sixing Hao, Qiwei Yao · Statistica Sinica · 2023
We propose a new estimation method for the blind source separation model of Bachoc et al. (2020).The new estimation is based on an eigenanalysis of a positive definite matrix defined in terms of multiple normalized spatial local covariance matrices, and, therefore, can handle moderately high-dimensional random fields.The consistency of the estimated mixing matrix is established with explicit error rates even when the eigen-gap decays to zero slowly.The proposed method is illustrated via both simulation and a real data example.