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Compact CramÉr–Rao Bound Expression for Independent Component Analysis

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3 Author(s)
Ollila, E. ; Helsinki Univ. of Technol., Helsinki ; Hyon-Jung Kim ; Koivunen, V.

Despite of the increased interest in independent component analysis (ICA) during the past two decades, a simple closed form expression of the Cramer-Rao bound (CRB) for the demixing matrix estimation has not been established in the open literature. In the present paper we fill this gap by deriving a simple closed-form expression for the CRB of the demixing matrix directly from its definition. A simulation study comparing ICA estimators with the CRB is given.

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Signal Processing, IEEE Transactions on  (Volume:56 ,  Issue: 4 )