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Quantifying identifiability in independent component analysis

Abstract

We are interested in consistent estimation of the mixing matrix in the ICA model, when the error distribution is close to (but different from) Gaussian. In particular, we consider nn independent samples from the ICA model X=AϵX = A\epsilon, where we assume that the coordinates of ϵ\epsilon are independent and identically distributed according to a contaminated Gaussian distribution, and the amount of contamination is allowed to depend on nn. We then investigate how the ability to consistently estimate the mixing matrix depends on the amount of contamination. Our results suggest that in an asymptotic sense, if the amount of contamination decreases at rate 1/n1/\sqrt{n} or faster, then the mixing matrix is only identifiable up to transpose products. These results also have implications for causal inference from linear structural equation models with near-Gaussian additive noise.

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