Noisy independent component analysis of autocorrelated components.

Abstract

We present a method for the separation of superimposed, independent, autocorrelated components from noisy multichannel measurement. The presented method simultaneously reconstructs and separates the components, taking all channels into account, and thereby increases the effective signal-to-noise ratio considerably, allowing separations even in the high-noise regime. Characteristics of the measurement instruments can be included, allowing for application in complex measurement situations. Independent posterior samples can be provided, permitting error estimates on all desired quantities. Using the concept of information field theory, the algorithm is not restricted to any dimensionality of the underlying space or discretization scheme thereof.