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Covariance Matrix
Covariance
Always between two dimension Positive value both dimension increase together Negative value one dimension increases, other dimension decreases Zero dimensions are independent of each other Covariance between one dimension and itself gives variance
Introduction
Blind No information about the sources of the signal No information about the mixing of the signal Assumption Sources are statically independent Mixing is linear and stationary Method Principle Component Analysis Independent Component Analysis
Definition of BSS
Assuming observation signal is a linear and stationary mixer of more than one unknown independent source signal, Blind Source Separation separates the source signals using the property of statically independence of the sources. Method of separation of a set of signals from a set of mixed signals, without the aid of information about the source signals or the mixing process.
Noise Source
Observed Mixture
XT
ZT
YT
= XT
BSS is a Transform ?
Like Fourier, we decompose into components by transforming the observations into another vector space which maximises the separation between interesting (signal) and unwanted (noise). Unlike Fourier, separation is not based on frequency, Its based on independence Source can have the same frequency content No assumptions about the signals (other than they are independent and linearly mixed)
EigenSpectrum of Decomposition
EigenValue
EigenVector Number
Most of the signal is contained in the first few principal components. Discarding these and projecting back into the original observation space effects a noise-filtering or a noise/signal separation
EigenVector Number
Graphs of SVD
X
Xp =USpVT
Signal 2
Skewness
Negative Positive
Uneven moment Is most of the data greater than or less than mean?