[R-pkgs] New package for ICA uploaded to CRA

From: Trevor Hastie <hastie_at_stanford.edu>
Date: Wed, 28 Apr 2010 17:49:33 +0200


I have uploaded a new package to CRAN called ProDenICA.

This fits ICA models directly via product-density estimation of the source densities. This package was promised on page 567 in the 2nd edition of our book 'Elements of Statistical Learning'
(Hastie, Tibshirani and Friedman, 2009, Springer) . Apologies that it is so late.

The method fits each source density by a tilted gaussian density, where the log of the tilting function is modeled by a smoothing spline. This function is then used as a contrast function for computing the negentropy measure for this source component. The estimation is achieved by fitting a poisson GAM model for each component, with the log-gaussian as an offset.

The method was first described in
Hastie, T. and Tibshirani, R. (2003). Independent component analysis through product density estimation, in S. T. S. Becker and K. Obermayer
(eds), Advances in Neural Information Processing Systems 15,
MIT Press, Cambridge, MA, pp. 649-656.


  Trevor Hastie                                   hastie_at_stanford.edu  
  Professor, Department of Statistics, Stanford University
  Phone: (650) 725-2231 (Statistics)          Fax: (650) 725-8977  
  (650) 498-5233 (Biostatistics) Fax: (650) 725-6951   URL: http://www-stat.stanford.edu/~hastie    address: room 104, Department of Statistics, Sequoia Hall

           390 Serra Mall, Stanford University, CA 94305-4065



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