Robustness of prewhitening against heavy-tailed sources

Abstract

Many ICA algorithms use prewhitening (second order decorrelation) as a preprocessing tool. This preprocessing can be shown to be valid when all hidden sources have fintie second moments, which is not required for the identifiability issue[9]. One would conjecture that if one or more sources do not have finite second moments then prewhitening would cause a breakdown. But we discover that this conjecture is not right. We provide some theories for this phenomenon as well as some simulation studies. © Springer-Verlag 2004.