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Independent Component Analysis is a computational method for separating a multivariate signal into additive subcomponents supposing the mutual statistical independence of the non-Gaussian source signals.
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votes
Is there a way to reduce the covariance matrix of several source signals to the dominant sou...
What you want to do is dimension reduction. The most basic, yet very powerful and commonly used, technique to do it is principal component analysis (PCA). PCA operates on the covariance matrix. You ca …