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Sparse NonGaussian Component Analysis

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Non Gaussian Component Analysis is an unsupervised method of extracting a linear structure from a high dimensional data based on estimating a low-dimensional non-Gaussian data component. This paper offers a new approach to direct estimation of the projector on the target space based on semidefinite programming. The new procedure differs significantly from the earlier proposals in Blanchard et al (2006) and Diederichs et al (2010) and it improves the method efficiency and sensitivity to a broad variety of deviations from normality and decreases the computational effort. It particularly enables to proceed with much higher dimensions without loss of accuracy.

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