Least-dependent-component analysis based on mutual information

We propose to use precise estimators of mutual information (MI) to find the least dependent components in a linearly mixed signal. On the one hand, this seems to lead to better blind source separation than with any other presently available algorithm. On the other hand, it has the advantage, compared to other implementations of "independent" component analysis (ICA), some of which are based on crude approximations for MI, that the numerical values of the MI can be used for (i) estimating residual dependencies between the output components; (ii) estimating the reliability of the output by comparing the pairwise MIs with those of remixed components; and (iii) clustering the output according to the residual interdependencies. For the MI estimator, we use a recently proposed k-nearest-neighbor-based algorithm. For time sequences, we combine this with delay embedding, in order to take into account nontrivial time correlations. After several tests with artificial data, we apply the resulting MILCA (mutual-information-based least dependent component analysis) algorithm to a real-world dataset, the ECG of a pregnant woman