Rotation of Eofs by the Independent Component Analysis: Towards a Solution of the Mixing Problem in the Decomposition of Geophysical Time Series
The Independent Component Analysis is a recently developed technique for component extraction. This new method requires the statistical independence of the extracted components, a stronger constraint that uses higher-order statistics, instead of the classical decorrelation, a weaker constraint that uses only second-order statistics. This technique has been used recently for the analysis of geophysical time series with the goal of investigating the causes of variability in observed data (i.e. exploratory approach). We demonstrate with a data simulation experiment that, if initialized with a Principal Component Analysis, the Independent Component Analysis performs a rotation of the classical PCA (or EOF) solution. This rotation uses no localization criterion like other Rotation Techniques (RT), only the global generalization of decorrelation by statistical independence is used. This rotation of the PCA solution seems to be able to solve the tendency of PCA to mix several physical phenomena, even when the signal is just their linear sum.