Title: Non-Gaussian component analysis: Testing the dimension of the signal subspace
Authors: Una Radojicic - Technical University of Vienna (Austria)
Klaus Nordhausen - Vienna University of Technology (Austria) [presenting]
Abstract: 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 that the simultaneous use of two scatter functionals can be used for this purpose and suggest a bootstrap test to test the dimension of the non-Gaussian subspace. Sequential application of the test can then, for example, be used to estimate the signal dimension.